For eBay purchases, PayPal always uses the address from eBay.
So, you need to change the default shipping address on eBay, not on PayPal. Changing your address on an eBay payment doesn't change anything in your PayPal account. Here's how to change your address on eBay. You can remove addresses there if you're not going to use them again, and make sure that the correct address is shown as the default shipping address so you won't have to worry about it.
Go to My eBay > Account
Click Addresses.
Click Change next to the address you want to update.
But just to make sure you can log into Paypal and change it there also.
Click on the 'profile' tab
Click update email
Check another address
Click 'make primary'
Confirm