What about the part that's "being a part of a criminal conspiracy to steal $40k?" I guess that's not something for the airport police to deal with though.
In light of the extended Fraud on your account, I believe
that due to the 7 day lapse between you collecting the SIM
and returning to the USA, then your details could have been
compromised anywhere. In all probability, this occurred in
the USA as this is where the accounts have been set up and
believed the fraudsters would have had to have been in order
to benefit from the crime.
The fact that you bought a SIM card in the UK is purely
circumstantial I’m afraid, therefore we would not
investigate this further.
What you're telling us is all based on your educated guesses as to how they might have pulled this. There are things that feel a bit weird and I'm guessing you have no evidence to prove them, such as the scammer shipping the real SIM back to Atlanta in time before you realise the issue.
How did you realise the SIM card you were handed was fake? Couldn't it be that they instead duplicated your SIM whilst you weren't looking?
IMHO the police (or FBI or whatevs) in the US should conduct the investigation as that's were the fraud happened. They'll evaluate if it's worth it contacting their counterparts in the UK to move forward. However I also think it is good that you've given a heads up to the UK local authorities.
Do you remember what company was offering the local SIMs? I've seen mostly Lebara, but not in Heathrow...
I did also report it to both my local police and the FTC and the FBI but never could gain traction as nobody thought it was their jurisdiction. I eventually gave up once my credit was repaired.
I mean, what possible additional evidence could one plausibly have that the guessed scam is indeed what happened?
Which is the scary thing about all these SIM-theft things. It clear happened, there's really no way for the victim to know how/where/what/when/who.
I do wonder if it's still happening...
I think one way to prevent it, aside from remembering to not let your SIM off your hands is to mark/paint your SIM and make it unique and easily recognizable.
Then you can deal with it immediatelly, even if you forget the rule to not give your SIM temporarily to others. (You'll probaly not forget, but people who may not have your experience and still want to protect themselves against this, may.) Also the attackers will not probably attempt to swap unique looking SIM in the first place.