Well, instinctively, I am with you. I always felt that, as a seller, the process was one of taking turns: I list, someone buys, I send the item to them, they let me know, through feedback that they have received it and are happy, and I respond with feedback saying all is well from my pov too.
But I have heard that, as the seller, you should only comment on the transaction from your side of things ie how quickly the buyer paid, and you can do that long before you know whether the buyer is happy with their purchase. I have noticed when I have bought from proper businesses on ebay that they always leave feedback the moment I have paid.
What I actually do is a halfway between these 2 options. I don't leave feedback straightaway. I wait to see if feedback from the buyer will be forthcoming. It is still the way I would prefer things to be. But if after say a week I had not heard from them, I make the first move and leave feedback anyway (though maybe not as effusive feedback as I might leave otherwise).
If someone was rude enough to demand feedback from me, I would probably make a point of not responding at all, although I would then fear that they would leave negative feedback just to be spiteful. I think what you did, messaging them, was the best way to respond.