I would imagine that doing it that way means you are sending them to the ebay address.

You should be sending them to the PayPal address ..... sometimes it's different to ebay address.  
If this is so, then you've been lucky not to get caught out.  
I often get purchases being sent as a gift ,,,, the buyer changes the address it's to be sent to in PayPal.

You don't have Paypal cover if you're not sending them to the PayPal address.