Federal law does not consider muzzleloaders to be firearms, and there-fore are not regulated in interstate commerce. So it seems legal to ship them anywhere, FFL or not. State laws are all over the map though, and usually it is up to the receiving individual to be in compliance with local laws. As an example, in New York State, all muzzleloading guns are non-guns, and rifles are not regulated. But heres a dilema. One can mail order, and possess a muzzleloading pistol, or a cap-n-ball revolver, without restriction, as it is not a firearm. But as soon as he loads it, it becomes a pistol, and he needs a pistol liscence to possess. And the Communist Entity known as New York City, has it's own more restrictive laws.
A similar situation exists with mail ordering black powder. Federal law says you can purchase 50 lbs at a time, and most distributors will be more than happy to ship it to your door via UPS. But in many states, you will be in deep doo-doo if caught with that amount on your premises.