You should have wait for at least 1 confirmation unless you trust the guy. This is what happened in my guess:

- The guy sent coins to an address A which he owns and the fees were less of course
- He then sent the coins from the address A, and the coins of the address A (input)were not confirmed yet.
- He then gone back to the first transaction and rebroadcast the first transaction with a higher fee. And in rebroadcasting process, the tx you had with address A gone dropped.