The paper also addresses the question of where the neutrino came from; the sky map below shows the best-fit direction along with the uncertainty contours, along with some possible source candidates. To make a long story short, there are some plausible candidates from near (within the error circles), but nothing stands out as a likely candidate.
The paper also addresses the tension between IceCube's non-observation of any similarly energetic neutrino and the KM3NeT event. The KM3NeT paper refers to 287 days of live time, whereas the complete/almost complete IceCube has been taking data for about 16 years. And, KM3NeT is only partially complete, so it currently has much less sensitivity than IceCube. The degree of tension depends on many details of the calculation, but it is somewhere between one and two orders of magnitude, or between 2 and 3 sigma. This is not that likely, but it is also not that unlikely. And, given that the event looks solid, we will probably have to live with it.
The plot at the top of this post shows the flux calculated by KM3NeT (in blue) along with a 2018 limit from IceCube and another limit, from the Auger surface air-shower array in Argentina. The points at lower energies are IceCube data, but at energies above 10 PeV, there are only limits. It is worth pointing out that IceCube has a new limit - available on the arXiv, not mentioned in the KM3NeT paper, that is a factor of 3-4 lower than our 2018 limit, further increasing the tension between the two experiments.