Ausbargain - Feedback cannot be left after UIC is CLOSED, not opened.
OP - yes should be removed if UIC was closed.
One has to wonder why they committed to buy the books if they were "too expensive". 
As others have said, the unpaid item route would have been the most advisable action to take anyway - the feedback should either be automatically removed once they close, but if not eBay should remove them. (The timing is 4 days to the minute, as soon as it says "you can close this case now" when you view them in the resolution centre - be sure to tick 'no' to the question that comes up 'have you received payment').
A lot of buyers will take offence to an unpaid item dispute (whether they asked for a cancellation or not), mostly because the wording of the email eBay automatically sends is a bit threatening. If a similar situation occurs in the future, you can try to curb this by sending a carefully worded message - eg I send one that's along the lines of:
Dear [buyer], thank you for contacting me and advising you no longer wish to proceed with the transaction. I'll be happy to resolve this as quickly as possible, and initiate the process to cancel the transaction shortly. This process will take up to X days, but will finalise by X date, at which point the transaction will be officially cancelled. You won't need to do anything further as you have already indicated you no longer wish to purchase the items, so please ignore any system-generated emails or payment reminders from eBay.
Kind regards
[seller]
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