He thinks he can get the cables to me faster with my address.
He's right.
If he puts the value as under $20 CDN (tell him under $15 US and no it's not accurate, we're trying to avoid duty and tax here) it will go directly to you without 'import fees'
He could get your address by requesting it from eBay (and you get his if he gets yours). There is no danger of any sort involved with this.
Will this void any coverage by eBay if something goes wrong?
No. Your seller is trying to correct a problem he caused.
I have tried to open a case on the matter
Don't. Your seller is cooperating . Cases are for problems the sellers is stonewalling about. You have up to 45 days from purchase to open a case. Your seller should have the problem solved well before that.