I can only reference how it works here in the U.S. I would certainly refund the purchase price immediately. All sellers are uniquely tied to their Feedback Score. Ebay, rightly or wrongly, leans toward protecting the buyer more so than the seller, in my opinion... but it is what it is.
Here, I sell a lot of vintage Ray Ban sunglasses and ship them exclusively by United States Postal Service and print my own shipping labels off Ebay or Pay Pal, which, in turn, produces a tracking number. This number is always displayed in the product history you've sold. I've shipped a number of things to Europe and the U.K. and the tracking number has always come in handy in the rare occasion where the shipment apparently wasn't delivered.
One hint... in the future, when you declare your return policy, be sure that your refund is only for the purchase price, not the shipping costs and especially not for the cost to return an item the buyer doesn't like...
At any rate, refund the item with an apology and see if you can work out any kind of refund from the mailing service...