If it's a request through eBay messages, in theory you are protected by eBay (per eBay). I've never had to test that one.
In practice, I take these requests for low-price, low-fraud items but would draw the line at a large expensive LEGO set. In that case, I'd refund their PP payment and send them an eBay invoice specifying that they add the desired address to PayPal and show that as the shipping address (it's easy for a buyer to do, unless this is their first week on the intrawebz).
It doesn't have to be a "confirmed" PayPal address, so long as eBay and PayPal say you're covered (which they will when PayPal sends you the payment), you're fine.