Buyers can change the shipping address at checkout right up until payment is sent. After that, the shipping address for that transaction cannot be changed.
The seller is required to ship to the address that comes with the payment or lose all protection in the event of an "item not received" case. Scammers often send messages urging the seller to ship to another address, so sellers are rightly wary of such requests.
The seller can cancel the transaction at the buyer's request and relist to allow the buyer to purchase again and provide the correct address, but sellers are not required to do any of that.
Changing an address stored in the eBay account for future orders:
Go here to update all the various addresses associated with your account:
