I have received a reply from E-Bay and I will quote the first paragraph of their note:
We have reviewed your report and have found that the message you received was made to appear as if it had been sent by an eBay user; however, it was not. All email sent to you from other members through eBay's email system will also appear in the My Messages portion of My eBay. If you get an email to your registered eBay email address that looks like it's from eBay or another eBay member asking a question, check My Messages first. If it's not there, it's a fake email.