Somebody paying for your product is very strong signal. You know that such a person represents real world use cases for your product, and that their issues and feature requests are based on real world problems. Otherwise the chances are low that they would be paying for the software.
So helping them with what they want could mean that you've just tipped the scale enough for hundreds or thousands of people to become new customers.
And of course you should give them their money back to get rid of them if they're any kind of headache. Or tell them that their requested feature will be in the next versions, which is a new purchase.