FedEx isn't the mail. If they open a package intended for someone else, they've unlawfully converted property if they keep the contents (as compared to handing it to the rightful owner).
Opening something sent via the US Postal Service is a felony. Unless of course you are able to prove it was unintended (such as getting someone else's letter in your mail and opening it before you realize it's not for you).
Sadly, the cop was right, there really isn't anything they can do at this point. They will allow Fed Ex to complete its own investigation and after that, if Fed Ex needs them to get involved, they will. But they have to be the ones to initiate that