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I figured this error out.
My PayPal email was never verified via PayPal.
It will let you operate an account without email verification.
However it apparently affects what happens when Shopify sends a PayPal Express connect to PayPal using an unverified email address.
PayPal must do a lookup on it and see its not verified so it doesn't allow a 3rd party connection.
Just go into your PayPal profile where the main account email and password are and see if it says "unverified" next to your email address.
There is a button there to trigger a verification.
Once I verified, within seconds the pending Shopify transactions processed in PayPal.
Hope this helps someone else stuck in PayPal.