PayPal actually encourages fraud by sending email notices, but not sending the same notices through its own internal messaging system. In contrast, Ebay always uses its own message system as its primary contact. If an email from Ebay is legitimate, it will also be found in the message system. PayPal does not do that, so its users are forced to rely on email for notifications - and, as you know, that's a hotbed for fraud.

Reading a fraudulent email does not cause trouble, but clicking on the links will. Never use an email as the way in to your account - always close the email and log in to PayPal (or any other service) independent of the email links.