If they already cancel the order, you should get back your payment on a later date. Then its case closed.

IF... IF LA.....

They send the full name & add detail as a form of intimidation. Hoping you would fall for it and paid the money. (Because out of platform, they can deny it ever happened)
This is con & ransom case.

BUT !!!!

If they never follow up the message, then just confirm they and you cancelled the order and life moves on.

Just to say that everybody data already out there in web. Your face and all your other transactions & posts are out there.

The good thing is YOU ARE NOT PERSON OF INTEREST. Not important enough to say like a politician to use resource to make your life miserable. Yes you kind of feel bad you are not interesting enough to be a target. BUT THAT IS A GOOD THING!!!