Anything can happen, but Keystone has been good for many members here. Recourse, if damaged, would be through them...they will record any defects or problems before loading, and you can inspect upon receipt.
I'm sure the dealer could help, for a fee. If the Title is clear (no liens) the process is pretty straightforward. Each state is different with regards to titles, but generally, he would just sign it over to you, then you transfer, along with the Bill of Sale, at your local DMV in Mississippi. In Alabama, you'd pay sales tax at that point, in addition to any other fees involved in licensing, etc., but Miss may be different. There is a certain degree of trust involved in a transaction like this, on both sides, but if I were the seller, I'd want a Certified Bank Check, sent Federal Express overnight. Same on your end with the Title and BOS. If the title is not clear, then the check is made out to both the seller and whoever holds the title.
Basically, you have to go by "vibes" you get from the selling party as to the amount of trust you have in them. I've done this kind of thing on several occasions over my lifetime, even when the title was not clear, and everything works out fine.