Do NOT remove the feedback until you have your refund.
Your only power at this point, since there is nothing to ship or to return, is that FB.
And your seller has already shown that they are unwilling to compromise on something that would have cost them nothing (Cancelled for Buyer Request means they get any fees back and no Defects.)
I am old and grumpy.
BTW, in addition to eBay's Money Back Guarantee, which I do not think applies here, you are covered by Paypal's Buyer Protection if you used that anonymizing service, and by the chargeback provisions of the credit card you really paid with.