I've had a few of these happen in the past few weeks also.  Never used to be like this.  I think more and more people are getting confident and buying stuff online, and unfortunately there's a few morons out there who don't take it seriously when they commit to buy something.  They don't realise there are real people on the other end waiting for the payment and wasting time following it up with a message or two.

I would set it to "must pay immediately" as stampingpaws has suggested but sometimes I get multiple purchases and custom requests, so I try to be flexible with my invoicing to give my buyers good deals.  Otherwise I'd enforce the "must pay immediately" feature.