Congratulations on recognising that the message wasn't quite right. The sender does not have your email address, otherwise they wouldn't need to ask you for it. It sounds like you have email notifications turned on, and each time a new message arrives in your Etsy message box, you will get a copy of the message emailed to you as well. That doesn't mean the sender is actually from Etsy, nor does it mean they have your email. If you are prepared to check your messages regularly (at least twice a day is recommended) you can turn off the email notifications.
The message you have received is a scam attempt. If you had a real sale, it would show on your Dashboard and would go through without you needing to do anything or provide any information. You gave Etsy all it needs in the setup process for your shop. If they ever need more, they will ask for it in a banner on your shopfront and you will provide it ON SITE. Etsy never requires you to email information or go offsite to provide it.
Send the message to spam, this will bring it to Etsy's attention and they will take action to remove the account it came from (if they haven't already). The scammers open lots of new accounts, and use each one to send as many scam attempts as they can before it is removed. Yours may not have been the first attempt from that account. Etsy is removing them quite quickly, often before the unsuspecting new users can reply to them. We see multiple posts in the forums each week from new sellers who tried to reply to a message and got a "user does not exist" error. 99% of the time, this is because the sender was a scammer and Etsy removed the account.
I recommend you spend a little time each day reading up on how things work on Etsy and what to expect when you really do get that first sale. Forewarned is forearmed.
