I am surprised the seller was able to send that message which is blatantly asking you to do an off-Ebay deal.
Do not pay the seller directly from your Paypal account - if they don't send the item you will not be able to make a claim through Ebay.
If the seller had cancelled the sale, you would get an email from Ebay saying the sale had been cancelled and your refund was being processed.
As advised, check if you bought as a guest - although if that is the case I don't think the seller would be able to message you.
Is this the Ebay account the message came to?
Either way, you need to find the email you got from Ebay when you paid and see what the latest estimated delivery date is.
"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)