From what I have read here no the board, if an item arrives after a refund, eBay is not responsible and it becomes a matter between the buyer and the seller. If the buyer does not re-pay you, it is the buyer who has committed theft. I have never heard of eBay saying that if an item arrives after a refund it is a gift from them. Some sellers here tried to recover their money through a debt collector.

That message the buyer shared with you sounds strange.