@pimpom_in1...
No there is nothing specific for PP, you must be doing something wrong otherwise it works perfectly.
I have 3 address marked as shipping address (1primary+2others) and just now to check I have purchased an item and I get a choice to change or choose my shipping address to whichever one I want.
Just check again, I am sure you will succeed in doing the right thing. Get back if you cannot.
I have give below the screenshot of how the purchase item page looks where you can choose the address.

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