I've heard that some of the people that have been scammed recently have simply accepted that they have lost their money, and done nothing more about it, thinking that the pokersites can't help them get their money back, so why bother?
Although, admittedly, there is only a very slim chance that you will get your money back, you should still tell the sites that you have been scammed and ask them to put a note on the scammer's account that you have reported them as being a scammer. Also ask them to consider preventing automatic transfers into the alleged scammer's account from other players, to try to prevent others being scammed in the future. Many of the scammers' accounts are new, and they try to scam as many people as they can in a short period of time, before their account becomes known or is closed.
You should probably provide Support with chat logs, e-mail copies, and screenshots to prove your side of the story. (Stars has a dedicated e-mail address of
security@pokerstars.com for the like of reporting scams.)
Basically, if we can make it as difficult as possible for these lowlife thieves to steal from others, it makes it a safer environment for us to effect our honest and helpful p2p transfers.