I've also had this problem and I'm using a VPN. It's very bizarre to have to change your password during checkout, I had to go back and look carefully to make sure it was actually PayPal and not an attempt to steal my information. Moreover, the security feature doesn't really make sense. If the purchase was, in fact, being made by someone other than me, why would they be given the opportunity to change my password? I don't think using location data to add complexity and making users feel uneasy is a good move. VPN usage (or similar) should not affect user experience, hopefully this will be addressed.
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