The fact that the OP used the term "merchant dispute" leads me to conclude that the charge was posted to a debit card. Cancelling a service such as a health club membership or insurance premium may be considered a merchant dispute under VISA/MC rules, but it still meets the definition of an unauthorized/incorrect EFT under Reg E 1005.11. You are required to investigate.
You may ask the customer to contact the merchant, but remember that your provisional credit and investigation timeframe clocks are still ticking while you wait to hear back from the customer. Also, you cannot deny the claim solely on the basis of the customer refusing to go to the merchant first.
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