No way would I refund them. I would report the email in which they threateded to leave a neg to ebay so that you may find it useful if the do indeed leave a neg.

I would just go with the fact that you have not yet received payment so perhaps they could check with their bank to make sure they sent it to the correct account.

There is no ebay money back guarantee for items paid for by bank deposit so you should be OK there.

If payment does not show on Monday if that has been more than 4 days since the sale ended just start an unpaid item dispute.

If they do pay then just send them the item, I would pay the extra for SOD to be on the safe side.