It's not a problem.
The seller has items he does not want to sell on eBay. We are allowed to turn customers met on eBay into personal customers.
No you will not be covered by eBay if you do not buy through eBay, but you will be covered by Paypal which has equally strong Buyer Protection.
If you back your PP account with a credit card, you will also have the protection of their chargeback policy.
Whether you are buying on eBay or else where, Paypal and your credit card make for a powerful consumer protection service.