I've opened the dispute (did it the second I opened the package). I think I have to wait until tonight or tomorrow before I can ask Ebay to step in. Thank you all for confirming that's the best move forward. 
I checked the shipping from NZ and it would be like 40$ (the part they've sent me is much cheaper than that) so their initial request seems even more suspect.... 

The purchase and the dispute all seem to be on the ebay.com.au page - but yes, I can see they normally sell on the US page.  I think it's sold it to me as a guest because I have to use the order email to go to the purchase - it doesn't appear on my account when I'm logged into the AU or USA page using the same email and details.