Unfortunately, eBay sends all refunds to your PayPal account. That may or may not change in the next few years as eBay has recently signed an agreement with Adyen as another payment option. PayPal, fortunately, will still be an available option. This will start in North America as a small scale "in the second half of 2018, expanding in 2019 under the terms of the Operating Agreement with PayPal. In 2021, we expect to have transitioned a majority of Marketplace customers to the new payments experience" - eBay. You don't need to take any action at this time.
However, if you don't have a PayPal account, you will need to create one with your eBay registered email address to claim your refund - you could always change the email address once you receive the refund. In the unlikely event that eBay isn't able to send refunds to your PayPal account, they may provide refunds by coupon redeemable for purchases on eBay. You might have to contact eBay for that last part.
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