Yes, I would agree with this just go with the cancellation. You haven't worked on the order and buyer has already informed you that they purchased from someone else. I don't think you'd want to waste your energy for someone not interested in getting your output anymore. Plus forcibly delivering something will just waste your precious time working on something that could potentially get cancelled (either through CS or even a chargeback)
Well, I don't know what the weight between a cancellation vs. a bad rating in terms of how it affects gig placement. But a bad rating can happen both privately and publicly (the buyer can rate twice).
Also as I mentioned earlier, the cancellation might not even affect your completion rate if CS assists you. And if it did, it would get back to 100% after 60 days. If you get a bad rating of 1 or 2 stars, you might not even be able to bid anymore in the buyers requests and that's usually something helpful for new sellers to gain more momentum. Add-on to whatever the buyer may have written on your review.
Totally not worth your time and energy. You are a new seller, whether we like it or not, good ratings matter a lot in that stage. It helps potential buyers take a decision with us more than a cancellation rate that cannot be seen and resets eventually after 60 days.