When a buyer makes a "personal" payment and helps the seller avoid the PayPal fees, there is no need to print a shipping label in PayPal's mind. After all, who need a shipping label for rent, loans, personal expenses, etc.?

Some day PayPal will see how much the system is being abused and eliminate no-fee transfers. Until then, you must construct a shipping label from scratch (either within the PayPal system or outside it).