honestly, if they are threatening you, save those emails. It's against ebay policy and can help your case. Since the item *is* showing on tracking, is the number entered into ebay? if it isn't, do that ASAP. Ebay may pay them out, thanks to their own policy, but I don't think they'll find against you or force you to refund it.
For another, most tracking is only good inside the US; it'll usually show as in customs or just 'enroute' once it leaves the US. It hasn't even been 3 weeks yet! Also, I think I'd block the buyer, *reasonable* buyers usually wait till at least 1 month to be concerned about oversees package; the only situation I've ever had to file a case against a seller, I waited till I had only one week to file. Even then, I politely emailed the seller and waited 3 more days for them to get back to me first!