To resolve the issue, please consider the next:

• If your order is already paid, it can only be refunded.
• Order cancellation/refund made directly on the Channel does not affect Magento order. Yet, M2E Pro updates your Channel order to the relevant status under Amazon > Sales. 
• To cancel/refund Magento Order, you need to create Credit Memo in your Magento. After that, M2E Pro will update Order status on the Amazon website automatically.