> why does shipping have ANYTHING to do with purchasing!?

Because that is an extremely effective way of detecting fraud.

If someone's billing address is in location X and their shipping destination is location Y (e.g. X = Washington State, Y = Florida) then in terms of your fraud score, it shoots through the roof. This goes astronomical if it is cross-country (e.g. billing in US, shipping to Mexico).

If you're a student it might be worth your while calling your bank and having your billing address moved from whatever your home state is to the state where you plan on living. If you're doing online billing this won't have much impact day to day, but will make it so you dodge most fraud protection.

Unfortunately most (all?) banks don't allow you to add multiple addresses onto a single account.