I have a fair bit of experience on
ebay as both a buyer and a seller, so I see both sides.
There is no obligation to provide combined shipping, but I think it is good customer service and something every seller should think about. Personally, I will look through all a sellers items and will buy more from one seller if they are combining shipping, as I know I am saving money.
As most sellers do combine shipping, if you are not going to do it, I think you need to say this clearly and up front, with your reasons. There is almost an expectation on the part of buyers that a discount will be made, and that is what you are up against now.
So, how to deal with this situation? Personally, I would err on the side of good service and good feedback. As a new seller, you don't want to risk negative feedback at this stage, and unfortunately this may well be what you get from this customer. So give a discount to the guy, it doesn't have to be the whole amount of one shipment, and have a think about your policy overall. Look at what others do. Some give a small discount, some give a larger discount.
If you decide to stick to separate shipping and no discount, make this extremely clear in your listings, but be prepared for buyers still to ask!