If ebay is your future and you want to make it a business then feedback would be important so its not woth risking negative on the sale of a small item IF the item isn't worth much, just empathize how terrible it is that they didn't receive it and then refund them. Save spending a whole heap of worry and time on it.  you could be spending that precious time on listing more items.  And people like that, if he is making it up will get back what they give in the long run.

however, if the item is valuable good luck sorting it out.  Hope you come out on top.