A return request, whether the buyer selects a change of mind reason, or INAD, doesn't result in a defect unless the case is unresolved, gets escalated to eBay, and found in favour of the buyer (in those cases, it's not just a 'defect', though, it's a 'case closed without seller resolution', and the allowable margin for those is significantly lower than the one for normal 'defects', which is now strictly related to cancelling due to out of stock. Just to confuse matters, late shipment is a defect of sorts, but is counted separately from actual defects, and can't result in selling restrictions). If none of that makes sense, I'll try to clarify. 

The main issue with INAD cases when it's really a COM (change of mind), is that the system automatically wants you to pay for return postage, and issue a full refund on return, whereas in a COM request, your return policy applies (eg in my case, buyer is responsible for return postage and is refunded item price only).

If you don't want to get eBay involved, you'll need to communicate with the buyer and work out what will happen and when (eg you should have the option to offer the buyer a partial refund and if they accept it, the case is closed, but that would be the only way to get it officially closed without issuing a full refund of the original payment, should you want to retain original postage, or a restocking fee). Alternatively, if the buyer is agreeable, you could request that they close the request and the return / refund is facilitated manually.

If you call eBay and point out the messages, they may close the request, which would leave you arranging the return etc manually, as well.