Agreed. Sellers and buyers of domain names (or web sites) selling for at least $300 should use an escrow service. The fee is around $25 and can usually be split between parties.
Just think about the price you're paying/selling the site for. If the amount is more than you're willing to lose, use an escrow service.
No, story is that Paypal has been a haven for scammers and crooks since it started.
The lesson of the story is that they shouldn't be buying domains for any non-trivial amount of money without utilizing an escrow service.