@LazyRoseCreations: Unfortunately your Message response percentage was not '"affected by cancelling customer orders" but by not responding to the new thread created by the Help Request. The Star Seller metric for messages is very simplistic and binary - either you replied to (or marked as SPAM) that first message of a new incoming thread within 24 hours or you did not.
"... a technical issue with the cancellation process ..." Most likely this is not a technical issue but an intentional design choice.
"However this message from the cancellation process started a new thread instead of responding to their original message ..." The 'message' on a refund never counts as a reply, the 'message' on a cancellation form is always appended to the default Message thread with that account (or creates one if there is none) but never to a Help Request thread, probably because Help Requests always start a new thread and also start the clock ticking on a potential case against the shop.
"This isn't right and please help!" You are correct - at the very least there should be more clarity about what counts as a response to a new thread. And just so you know, even if Etsy Support or the Help Pages sent you here this is a seller peer to peer forum, and should not be considered a way to contact Etsy, if that is your hope (although Etsy does sometimes read and reply to posts).
As an aside, you need to include the licensing information for all of the trademarked and copyrighted names and images in your shop in your listing, otherwise buyers (and Etsy) may conclude they are counterfeits. And a buyer could file a not as described case against you and both get their money back and keep the item. Including the licensing information will show that you are not selling those items illegally. SELLING something called 'fan made' merchandise is not a exemption to intellectual property infringement and at the very least can get your shop shut down.
