Should I be wary of Ebay seller request to invoice me directly to my PayPal email account?

I asked for free shipping on multiple items in my order. Seller agreed and said the following, “I will do that. please let me know your paypal email address and i will send direct invoice for those.”

Should I be wary of this? Is this considered a transaction “outside of Ebay”?

The seller has the ability to adjust shipping cost within eBay, so there’s no need to do anything else.

Yes - the seller can group the items and apply a postage discount within eBay. If they invoice you directly from paypal with no reference to the eBay transaction, the protection terms are different (maybe for seller and buyer both).