I have had exactly the same issue, and received the second email today. I forwarded the first one to the "sppof" address at Paypal as I was suspicious of it due to the clickable link in the email. On both occasions, I logged into my Paypal account and, as you found, there's nothing showing under the notification icon - as you said, the links in the emails look genuine, but I've been a Paypal member for years, so don's know why I would be receiving this sort of email now, and with nothing actually appearing under Notifications, there's no way i'm going to click the link in the email!
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