No, you don't have to say it. Its PAYPALS policy and if she is a Paypal member she's already agreed to it.Oh, those Balenciaga buyers are a tough crowd! Surely you don't have to state in the auction that you don't ship to unconfirmed addresses in order to enforce that policy?
I don't think that she's being abrasive at all. No need for flowery speech when making a point. All you need is "please" and "thank you" and that's it and it seems that she at least said "please".
And you don't need to explain or say anything to her except for "OK" and "thank you".
well thats just my opinion which is what the OP asked for. Thats why I prefaced my advice with "I would respond like this:" to the OP, not to your post just in case thats what you thought. and I may not "need" to explain or say anything - I would simply want to.