Ebay won't take the money back and really you don't need to do anything.
The last time I had a similar email, I had sent the item weeks before and the buyer was actually a repeat buyer.
Something has happened to make Ebay decide the buyer is 'dodgy' but it should not affect your transaction.
If you do happen to hear from the buyer or they try and get a refund, contact Ebay.
Otherwise, I would say this happens to many sellers and you don't need to worry about it.
"There are two ways to be fooled. One is to believe what isn't true; the other is to refuse to believe what is true.”
Søren Kierkegaard, Danish philosopher (1813 - 1855)