Sometimes I get notices from PayPal that they have put a cleared payment under review, and not to ship the item until they have finished their review. 99% of the time, the review completes and I am notified I can ship the buyer's item. The rest of the time, PayPal rejects the payment. I'm not 100% sure if buyers are notified their payment is under review or not.
Something like that may have happened here, the notice can come even a couple of days after the payment is made, during which time a seller may purchase shipping labels etc, occasionally they have already posted the item.
It could be something else, eg the seller realised they couldn't ship the item and this seemed a reasonable justification for cancelling, or they had an incorrect email address in the listing and couldn't access the payment (if they use eBay's cancellation process, the cancellation should trigger an auto-refund).
As sparklz mentioned, as long as you have received a full refund, I'd probably just purchase elsewhere if possible. If you really wanted to know, you could call PayPal and ask them if they placed a hold or review on the funds, or if it hadn't completed / cleared, but they won't be able to tell you if the payment went to an address that didn't belong to the seller, so even if they say the funds cleared instantly with no issues, it doesn't 100% mean the seller is lying.
