A bid is a binding contract and sellers are not always on-hand and able to cancel bids at the last moment. I'm assuming you're sending the 'please cancel' messages via ebay Messages or Contact Seller through Purchase History, and NOT replying to the system-generated Please Pay Now emails coming from ebay. If the seller is thus far unresponsive to your request to cancel the order, you can either pay or not pay. The seller isn't obligated to cancel your bid/order, that's the reason a buyer has to confirm each bid after ending the amount.
If you decide not to pay, you will probably have an unpaid item case opened and take a strike. Too many of those and it will be difficult to shop on ebay. You could also sell it yourself once you get it after paying, or give it away. Or return it due to remorse if the seller's Return Policy allows.
