@Never Settle
Thank you! I thought I was going crazy... surely there must be other woocommerce store owners who want to track ecommerce with google analytics.
I'll try out your settings and do some trial purchases (I use test items in the store at $0.01 - do you have any better ideas for testing?) but even if this does work it's going to leave me with an issue as I run multiple stores through one paypal account.
I previously found that the return URL doesn't actually impact on where the customer is returned to (they automagically end up at the right store): http://wordpress.org/support/topic/woocommerce-return-url-setting-for-paypal
Also my previous testing indicates that order capture in analytics is NOT dependant on clicking through to the return URL (I performed several orders myself clicking through on some and not on others).
I'm really struggling to understand how the process works. PLEASE update me with any results from your investigations. I'd be happy to share data and/or the cost of a dev to get this fixed.