I think it is just a little more worrying when they make it into your inbox and, unless you are one of those totally confident people, you doubt yourself.
I got two of these yesterday and did wonder if I had ever had such an account or if my GS had inadvertently bought something when on my Kindle. I rang Paypal and got some very helpful guy who was really good. I also checked my Amazon account to see if any such purchase had happened.
I agree with those who say never to open a link in an email unless you are totally sure where it came from.
I do get emails from my bank with links but even then I go to their website to access whatever, just in case.