Cloud_Weaver is correct, you can add or change your reimbursement payment method by going to the Financial Information section of the Personal Information page in My eBay.
I personally have never had it happen, as mine has been set up this way for a very long time. The whole thing really stems from their updated "Buyer Protection Policy." It's to ensure in the event that if a case is opened up against you and eBay refunds the buyer, that Ebay will get their money back one way or another.