The shipping address gets added on the second page of the checkout. Shopify needs to know the customer's billing/shipping address in order to calculate the relevant tax and shipping rates.

This is what it'll look like:

Are you using PayPal Express?

With PayPal Express, customers are first taken to the PayPal page. This is where they input their credit card information. Once PayPal gets the billing address, they send that to Shopify in order for us to calculate which rates are applicable.

The best thing to do to relieve any confusion is to just inform customers about how they can order. A few ways include creating a information page and link it to your footer, Product Description, on the Customer page, etc. 
Ex.

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