Wow - blast from the past. The issue I had still bothers me so much that I still have my 6s Plus and my SO's 6s Plus sitting in their boxes because I don't even want to think of the hassle selling them! Anyway, to the person who this is happening to, I am so sorry and I know what you're going through. Since the buyer has submitted a return request, you will have no choice but to go through with it. Make sure you document yourself receiving and opening the returned package from the buyer. Who knows if it would be proof enough in case he sends you something incorrectly back, but it's better than having nothing!
In my case, I know mine was a scam as when the package had been sent, I had logged onto the activation lock website and knew it was unlocked, and when my buyer received it, it was locked and I immediately got an e-mail that led to the situation. When I got it back, the phone was not locked and everything was as it was supposed to be, so he just wanted a refund or wanted to scam me but I think he realized I had a lot of documentation and knew what I was talking about.
As others here are suggesting, there is some kind of bug now that will lock certain phones to an Apple ID that was never associated with the phone. I don't know much about that, but others have provided links and I would encourage you to look at them. It's hard not to think the absolute worst in this situation, but try to remain as positive as you can. I did not about my situation, but in the end I got the phone back and it wasn't locked, so sometimes you assume the worst and get better results!
As long as you have your original documents that you owned the phone, Apple will unlock the phone for you. So if he sends it back to you and it's locked, go to Apple and start the process. Also, make sure you do NOT refund the buyer until you receive the phone and verify it is yours and everything is how you originally sent it. If something is off, contact eBay immediately upon receiving the phone and inspecting it.
Good luck with this, if there is anything I can do to assist you please do not hesitate to PM me or reply to this thread. I will keep an eye on it (even if you just need moral support - trust me, the situation sucks when you know you wiped the phone/did everything the right way).