Few key things:
1) You are required to allow buyers to return anything, but be vocal with the buyer if it sounds like they are trying some shenanigans.
2) Only message the buyer through the return so those messages are part of the return case. If the buyer messages you directly, reply through the return and quote them.
3) I hope you took pictures of the serial number of the 2600 and included them in the auction as well as pictures of it working.
4) Just send them a label, it does not mean that you accept the return and it buys you a few days on your end to file an appeal.
5) If they broke it, swapped it out for a different unit, or kept some of the accessories, you can file an appeal and prepare an affidavit to that affect. This will only work if the issue is obvious and is contrary to the pictures and description in the auction.
I've loads of experience getting one up on criminal buyers who abuse ebay. If you need help with the affidavit let me know, but if you get it back complete and in the same condition, count it as an 'L', block the buyer, and move on. You can only get away with leaving "VINTAGE VIDEO GAME, accepted buyer's return, received as sent" as feedback.
I had a buyer pick up several lots of RAM for gold salvage, a suspiciously large number and now I prevent that large of a purchase. They claimed it was different than the picture and we had a heck of a argument as the return shipping was astronomical. When they sent it back the sent back a much lower grade product that clearly didn't match what I sent out, but they did send a ton of it. In the end ebay gave them a refund, but reversed that decision in response to my appeal. They removed the negative feedback and the buyer cursed me out by messenger. Ebay removed their account and they never contacted me to claim their crap. I waited 30 days and even asked my Sherrif to be sure that I wasn't breaking the law by not automatically returning it after the refund. Sooo I ended up with a lot a free RAM, albeit a lower grade. Do not expect this outcome, but it can happen occasionally.
Another time a buyer bought a bunch of scrap, stripped all the gold off, did a piss poor job, and demanded a refund. I told them I would happily give a return for any unprocessed portion. They said that they processed it all. I sent them a label anyway and told them that I would reject their return if they insisted on returning a product that they intentionally broke and could note return in the same condition. They said they'd send it back just to cause me the hassle of dealing with it. Then they called ebay and convinced them that it was a hazmat issue to ship it, so ebay refunded them immediately. Quick appeal, no affidavit required, refund reversed in my favor.
In the future, scan a buyer's feedback and consider their time on ebay and their location before shipping. You can always cancel an order if you have to. I cancel one or two orders a month. Just the other day a 1-day-old account tried to buy a $1200 item off me and have it shipped to Japan. Well that dog just ain't gonna hunt, cancelled and blocked. Last month a buyer with 2 out of 10 feedback in the past 30 days were negative because they were ripping off people buying from them. Same deal, cancelled and blocked. I always message them first, then cancel and block them immediately. If they leave negative feedback for an item that was cancelled, ebay will remove it. Also, if a buyer or a seller ever leaves you negative feedback in a positive feedback slot, you can have it removed under ebay's feedback abuse policy. Also, you can have feedback removed for items that you've refunded.
Final note, if you see positive feedback for a buyer that's just "--" that means a seller left negative feedback and ebay removed it.