Yep, your actions are correct, that is, you do not send to any different address than the one eBay provides on the order details, as you would lose eBay seller protection if the buyer claimed ' item not received'.
Send them one last message to say eBay rules state the address received is the only one a seller should post to, this being the case, you will be cancelling the order which will fully refund them.
You then click on the item sold, top left click on View Order Details. Far right from More Actions drop down menu select Cancel this Order citing Problem with Buyer's address. This refunds the buyer and your seller performance is not affected.
Personally, I would block this buyer from buying from you again, they may have made an honest mistake in not updating their account to their new address or they may be doing this for untrustworthy purposes, sending to a different address voids all your seller protection from eBay.
Block them adding their username ID here:
https://www.ebay.co.uk/bmgt/BuyerBlock?
After you have processed all of the above is it then safe to relist the item!
@leshe6150
