This is exactly the same as an email I got through Ebay when I was selling my FX1.
Everybody on Ebay just tells them to get lost so they have obviously moved to more selling sites such as CL.
They will send you email from "Paypal" but they are ridiculously fake, and obviously linked to fake "Paypal" sites. I never listened to the emails from "Paypal" and always shut the browsers, opened a new one and went to the actual Paypal site, only to see, SHOCK HORROR!!! that they had not sent the money.
They will say that they will report you Paypal unless you send the item, but its bullshit. Once they realise your not a complete idiot you'll never hear from them again.
Its fun to watch play out, but don't send anything till you've definitely got the money in your paypal.