By default, PayPal orders status is setup to have automatic downloads available ...

Check your Attribute Settings that you have Downloads Available with >= 2 or <= 4 ... also the default ...

If you did an upgrade, it is a good idea to remove, install and reconfigure PayPal ...

You should see:
Set Pending Notification Status
Pending [1]

Set Order Status
Processing [2]

Set Refund Order Status
Pending [1]