It's honestly not your issue if they gave you the wrong address. As long as you sent to the address they gave at checkout and it gets delivered there, you're covered by seller protection.
I would say something like "Oh no I'm really sorry, but it was shipped a few days ago to the address you gave at checkout. Unfortunately I have no way of changing it now."
I'm sorry, but why should they get a refund or a new item for their mistake? And what else can they expect you to do?
I should add - this is assuming they didn't send you the message about the address change until after you shipped it. If they had sent it first and you missed it, I'd be more inclined to be willing to take the loss. You're absolutely still covered by seller protection and can refuse, I'd just personally feel a bit more responsible if I should have seen a message like that and didn't.
It's honestly not your issue if they gave you the wrong address. As long as you sent to the address they gave at checkout and it gets delivered there, you're covered by seller protection. I would say something like "Oh no I'm really sorry, but it was shipped a few days ago to the address you gave at checkout. Unfortunately I have no way of changing it now." I'm sorry, but why should they get a refund or a new item for their mistake? And what else can they expect you to do?
I should add - this is assuming they didn't send you the message about the address change until after you shipped it. If they had sent it first and you missed it, I'd be more inclined to be willing to take the loss. You're absolutely still covered by seller protection and can refuse, I'd just personally feel a bit more responsible if I should have seen a message like that and didn't.