I've seen four "Walts", three military and one nautical who claimed to have sailed the Atlantic single handed many times.
Before you do anything, I would suggest a discrete call to central army records office or whatever the British Equivalent is. Simply pass on the name, rank, number, regiment, any dates and apparent gongs and ask them to confirm the existence of such a person with a simple yes or no.
If you fail to do this, you could possibly be unintentionally slandering someone.
Then, assuming CARO says "No" simply get your association secretary to write him a private letter in which you "fail to understand certain anomalies in your service record." and ask for an explanation. That will usually see them slink away.
On the other hand if he is genuine, the blistering reply your secretary will no doubt receive should be followed with an invitation to talk about his unusual service at an appropriate function.
You should take action to resolve it though. Two of the military Walts I saw caused a great deal of mischief and confusion before they were unmasked, both made sensational claims that made the newspapers.