Hi Tim,
As I said, I've had no experience with 'Omega', but I've read their name in connection with similar stories, AND, more importantly, in connection with 'Amgrove'. I think anything connected with Amgrove must be a scam.
Why would supposedly different brokerage companies all route their ill-gotten gains to the same bank account? Presumably, 'Mr. Big' owns this account.
The only penalty you face upon cancelling your order is that your contact person may get angry with you, tell you he's been wasting his time, and hang up on you. If you can live with that, cancel away.
Where is 'New Millenium registered? You should be able to find information on it somewhere, like the SEC, for instance. Company websites can be made as pretty as a picture, but that doesn't necessarily mean anything. You get more in-depth info from their official listings.
Also, where is 'Omega' based? If they've sent you documentation, you'll have an address. If it's in the UK they'll be known by the FSA. If they have a Swiss address, they probably use a telephone and mail forwarding address, but I can check that for you through a Swiss government contact I have.
Good luck, and if you do ever find a genuine and profitable deal, let me know.
FF