You ordered, you paid, you asked the seller to cancel.
The seller is not required to cancel a purchase. In many cases, he would not even see your request for hours.
A buyer can cancel a purchase herself for a very short time (about an hour) after purchase, even if she has paid.
The seller has not informed you that he has shipped, but he may have. Again sellers are not required to track shipments, although since it is a Seller Protection, it is wise to do so.
"You can still contact the seller to return the order after you receive it."
That's an odd message. As a seller myself, I read it as encouraging buyers to return purchases, which is expensive for the seller.
But it is accurate.
When the item arrives, you can open another Cancellation request in the Resolution Centre at the bottom of this page.
The reason would be Buyer Remorse .I'm not sure of the wording.
You will be required to return the unwanted item at your own expense to get your refund. Use a tracked service.
BTW- it might seem like a good idea to Refuse the shipment, but Refused shipments are Undeliverables and sellers are not required to refund on Undeliverable purchases.