If the PayPal method being used is PayPal Express Checkout (i.e. via the shortcut button), note that the payment method prohibits changing the shipping address; if the method is, instead, PayPal Payments Pro, the checkout_confirmation page is actually displayed via AJAX on the checkout_payment page.

In either case, that could be part of the issue. I don't remember if Square declares itself as a "collects payments on site" type of payment method, but if it does then that's the same base issue as PayPal Payments Pro.