Unless your item is set up as 'Buy It Now' with 'Immediate Payment' required, buyers will often change their minds and back out of a sale. There's no way around it if you just auction something.

Ebay is not going to "punish" the buyer - they cannot force them to pay and sellers have not been able to leave negatives for buyers for more than 10 years.

You need to cancel the sale. I think one of the reasons you can choose is that the buyer did not pay (this probably does get reflected on a buyers record). If you don't cancel, you'll be on the hook for the fees.

As mentioned, make sure you're set up properly - ID and bank verified - for Managed Payments or you'll never see your money. I would recommend that you remove your items for sale until you are verified. Plenty sellers come to the forums crying because they can't get their money as they haven't gone through the processes.