No you should not try and change the rules to suit your buyer as you will have no proof of delivery in the event of a claim. That's a bigger risk than just a delayed payment.
Presumably you listed for collection because you didn't want the bother of posting, and by listing for collection you limited your buyer pool, so this buyer is trying to get a bargain.
If you are willing to post, cancel, using problem with buyer's address, and list again with tracked postage.
If you don't want to post, you should still cancel.