No, I'd file a claim with discogs and they'll get the feedback removed. It's also grounds for a discogs buyer ban since that's against their terms (I think).
When I used to work at a comic shop, I ran our eBay store and people overseas always wanted me to do this and I always declined. Eventually I added a statement at the bottom of my listings stating that we would not pay for nor falsify documentation for duties or import taxes. This lowered the requests, but didn’t stop them. Overseas sales remained steady.