That's a limitation imposed by PayPal's technology and the API spec used in that version of Zen Cart.

There's nothing defrauding about it. There's nothing misleading about it. Your complaining customers simply misunderstand how it works. There's no way to magically guess shipping costs without first getting the customer's address. That's why the customer is returned to your store for shipping quotes after giving their address to PayPal to share with you.
So, since you've found that your demographic of customers is close-minded to their expectations of how things work, it is best in your case to disable that button. But you knew that already.

Clearly you're venting. But be careful when venting that you don't go making broad sweeping statements that others might take as strong official advice.

A future version of Zen Cart will use a newer API spec from PayPal which coddles the customer more by attempting to calculate shipping mid-stream magically while the customer is still at PayPal.