Hi Cath, I have found a fix.
If you integrate Stripe into your store, then shipping costs show up even if the customer chooses PayPal.
You're better off having two payments options anyway, as not everyone likes PayPal. Stripe is cheaper too and is simple to sign-up to (no merchant accounts etc.).
Have a read of this thread where it says "The beta program applies for Australia, Germany, Belgium, France, Spain , Netherlands." The poster in that thread from Spain said it was a pretty simple process. http://ecommerce.shopify.com/c/payments-shipping-fulfilment/t/paymill-integration-113557?utm_campaign=ecomu&utm_medium=email&utm_source=subscription#comment-165987
Stay well away from PayMill imo.
I signed up for Stripe and my shipping cost problem was fixed immediately. Anyway it's always advisable to have another payment option to PayPal, so you can't lose.