They sent their deposit via Western Union? Hmmmmm - I used to work in the administrative offices at a bank, and Western Union has a HUGE percentage of scammers that use them. Maybe they were trying to scam you, but felt bad when it came time to close the deal? Did you ever cash the deposit? Or do you still have the Western Union check?
Very strange is right... but I'm so glad your little girl found a forever home!