Definitely don't close the case until you've received the refund - but definitely close it once you've received the refund.
One possible reason why some sellers ask you to end disputes: we sent the wrong item to a fellow a week back; as soon as the buyer informed me, I quickly sent the correct item.
Meanwhile, he opens a dispute. As usual, Ebay doesn't offer sufficient options for response, giving only Buyer gets to keep the item and gets a refund, Buyer returns the item and gets a refund, and Contact Buyer. No option to say "Replacement item sent".
So, I respond via the "Contact Buyer" field, and explain that the correct item's been sent, and should be with him soon. He replies, thanking me.
But he doesn't close the dispute, and I can't. A few days later, Ebay close the dispute, claiming that I haven't responded to it - which I have; there's a reply from the buyer, thanking me. And naturally, they refund the buyer.
So, he's gotten two items for free, and I'm out an extra postage fee. All he had to do was close the dispute once he received the correct item - which he didn't do.
If a seller gets burnt that way enough times, they may well request that the buyer close a dispute, on the basis that a lot of buyers don't realise that they have to close a case once it's been resolved otherwise Ebay will leap in and "fix" something that's already been fixed...
