Changing shipping address for buyer after the item has shipped?

[kiwisells91]

Hello everyone, 

I recently sold an item and shipped the buyer's item yesterday. I got a message from the buyer today asking for an address change and provided me with his phone number and email as proof. I know that I shouldn't change anything with the address to not lose Ebay protection so I'm no sure what to do. Also If the buyer requests a cancellation, how do I cancel the order when it's already shipped? 

Thanks

EDIT:

Thank you disneyshopper that was really helpful!

One more thing, if the item that I shipped comes back to me from the post office as result of nobody accepting it or being there at the address, will the transaction/funds/fees be automatically canceled/refunded for me?