[mothered]

and I got my refund email ( We are writing to confirm that we are processing your refund in the amount of £59.99 for your Order)  next day!

I was very confident of a successful outcome, hence expressed my thoughts and recommendation as per below.

Does this mean my account is burnt or is it just a scare tactic or something?

As long as you haven't hit an excessive amount of DNAs, you'll be fine.

They've opened an Investigation, and require the said Information to move forward with the claim.

What should I say?

Comply with their request.

Well done with the SE.