There are scams that are pulled off with Paypal. I don’t know exactly how they work, but someone posts about being scammed once in a while. I hear people saying they won’t sell on ebay anymore because ebay always sides with the buyer no matter what evidence is provided showing the seller is in the right.
Also, if you read these forums for a while you’ll find people stating that they don’t deal with people who have no feedback. You read that enough and have a little feedback racked up, you start thinking maybe you shouldn’t sell to people with no feedback either.
Buying and selling on the internet has gotten riskier and people try to protect themselves in various ways, the no feedback exclusion is one of them.
You didn’t do anything wrong and I wouldn’t take it personally. The seller is just a little paranoid. You may become a little paranoid after doing a number of purchases and sales and reading various forums too.