You can buy currency with or without a fee. But nothing is free in this world. Without fee means a bad rate, and you are right, Paypal is among the worst.
About the exchange rate. I have solved it in another way. I have three accounts with my bank. Euro USD and GBP. The Swedish business is made in SEK only with a Swedish broker so it is no problem
My Paypal also have the same 3 currencies. So when I transfer money from PP to my bank, I transfer in the same currency as I got paid. If I then need to exchange money, I do it in the bank.