Certainly dont close the return and you must only return the item to the returns address provided through the returns process, do not deviate from that process otherwise Ebay will not cover you, The returns process is tracked and once it has been delivered you will be refunded - If the seller is asking you to deviate from that then there will be no tracking of the return item and you will not be refunded (and if youve closed the return they wont refund)
Go back to the seller and tell them you will be returning it to the address given to you by Ebay and no other. May I also suggest you go to the help pages and "report Seller" as they should never be asking you to close a return and use a different address
