Ebay decides what device is using the site by installing a cookie with your ISP. When you use a VPN it "spoofs" a heap of random ISP addresses, none of which will be recognised by ebay as your device.

"Most people" don't complain about the " new device" message, which means either they don't use a VPN OR they know how VPN actually works and therefore accept that the message is the price you pay for using a VPN. 

Some people use things without having any idea what it is or how it works and never read the instructions and then complain when things don't work " the way they want". You will need to make a choice : use a regular browser without VPN for ebay( keep using it for general web browsing) or put up with the message every time you log in to ebay