At one time, if a transaction was refunded and cancelled, the buyer could leave feedback. I've heard in some cases that isn't always true now so your buyer may or may not be able to leave feedback. If the buyer does leave a negative there is the possibility that you could get it removed because they are asking you to do something that wasn't in the terms of the listings...ship to 2 addresses but there is no guarantee that it will be removed.
With that being said, why would you not refund the buyer? You haven't sent the items out, you are not out any money at this point so if refunding is what the buyer wants, then you should refund him.
If you don't refund and you do send the items, chances are very good that the buyer will file a claim saying that the items are not as described and then you will have to give a refund AND buy for return shipping.
It's really not your best interest to 'force' the buyer to continue with the sale.