Foreign buyer said they did not receive their item. Do I have to refund the postage?

Yes.

If you do not have proof of delivery, you must refund the entire original transaction amount.

Lesson:

ALWAYS get appropriate proof of delivery!

A great place for quick answers; no waiting, no voting,
"Do It Yourself": eBay Customer Support .

If you sent it without delivery confirmation then you gave it away, just send them a full refund and chalk it up to lesson learned.

Typical ebay seller hysteria. Many people send items with no delivery confirmation  as a deliberate business decision and they do it in the knowledge that very few will receive INR claims (be given away) and that when it does happen, it does not mean delivery confirmation would have helped if an item is not delivered.

You refund in full if ANY buyer does not get their item.