Those are rather rare, somewhat expensive, and difficult to replace. The docking connector and wiring harness assembly is not an off-the-shelf part. It is custom made.
You will need to
contact support to replace the part. I assume that it's not just the wiring harness that's missing, it's the entire docking sled? Expect to pay a pretty penny for it.
I suggest you talk to the seller and demand that the docking sled with an intact wiring harness be supplied. If he is unable to do so, I would consider that as fraud and misrepresentation and therefore grounds for action. Since the original unit came with the sled, and it is a critical component for the operation of the player and cannot be considered optional in any way.
I would also suggest that you
contact support and ask them if the player's serial number (found on the ABOUT menu in the player software) is a reported-stolen number.
Also, could you please tell us the seller's name so that we may avoid doing business with him in the future?