Sounds to me like they went through checkout, chose Paypal, maybe even entered their Paypal Password... but didn't do that final step of clicking "confirm payment"

As it turns out, I think you were right.

That's so bizarre (not that you were right, lol, that's not a surprise :^O), but that eBay recorded the message to seller on my side, yet couldn't actually display it until payment was properly completed. A good thing, though - the buyer said they thought they had paid, but actually hadn't, if their message hadn't been noted I wouldn't have picked up on it at all and just thought it was waiting payment, while they thought they had paid.