Apparently you have to set up Auto Return in PayPal - http://wphow.org/setup-paypal-to-accept-credit-cards/
The issue with this is that if the user doesn't pay using a PayPal account they are never redirected...
I'm thinking it would be great to figure out a way when I receive the "Notification of payment" email from PayPal to then tell WordPress to auto-complete the order. Is there a way to ping a url or set off a trigger when an email is received?
This problem is pretty annoying... I say the blame falls mostly on PayPal.