TS, last time i read somewhere that u can make a formal complain at some channel. they will track the person down and will take legal action toward the offender. i forgot the organization name. sorry for that. the charge is free iinm because its under government body. most of the victim got their money back.  u can try to search for it and get help from them. hope this help

Yes. Don't doubt.

Okay. Because I never filed police report before. What do I need to bring there?

But what can the police actually do?

There are also succeed cases. Check out this thread.
If everyone thinks the way you think, nobody will report and scammers will continue scamming.