You should get a refund via a paypal dispute. You will need to return them recorded. I always suggest you send them back (inc original packaging) in a larger different shaped box - as sometimes these nutters can refuse to sign, but if they think it might be something else they will sign.
Any abusive messages from them can be reported via a button at the bottom of the message.
All that rubbish about ebay investigating is, well rubbish. Ebay don't get involved. Any threats of court action is laughable.