How have you made this refund? It should only be de made through a case the buyer opens, or a cancellation request you've sent, which has been accepted.
Has eBay sent a message that this has been completed and refund made? Then, all is well.
If the buyer is messaging you to say they haven't received their refund, explain it goes back to original payment source, and is not always instant. If they paid with a credit card, it can take up to 30 days to appear in that card account.