Crikey, If I've had one I have had a hundred of these hit my mail box, any communication from Pay Pal can also be viewed if you log in to Pay Pal, if I ever get anything whether it is a legal communication or a spam mail I don't care, I delete it and open a new search engine, open and then sign in to Pay Pal to see if there is anything there. If there is, then it is still there and you can answer it from your account, if nothing then it was spam and should have been deleted or reported any way. Never open Pay Pal from an unknown Link for any reason.
If you are concerned about the content of the message you have received you can forward it to Pay Pal Spam for verification. They will write back within 12 hours, well worth the wait, again if you're in a rush do the first thing I wrote. (can it, check it) You'll never go wrong. Sorry you got done, the very first one I received, It said something like My accound was being flagged for suspicious activity and I should sign in to verify a suspicious transaction, I did the same as you but then thought I better check this, I went to Pay Pal found no transaction there and changed my password, Super Lucky I did, they didn't have time to react and clean out my account so I got away with it. Even Old guys get a bit of Dumb Luck on their side occasionally.