Bottom line is that you only have seller protection if you mail to the address provided thru PayPal. Among other things.

Is it a tracked item?

If so, did you lodge it over the counter and get that all-important lodgement acceptance scan? This is your proof of postage.

If it has a return address on it then if it is indeed undeliverable it should come back to you.

Then wait for the buyer to contact you about where it is.