Paypal checkout confuse the customers?

I am about to launch my Zen Cart based shop in a few weeks and have a questions about the Paypal express checkout from people who have been running their stores for a while:

Do customers get confused when they are returned to the shipping/enter coupon page after having logged in to paypal?

I mean, on most websites you have in fact paid for your purchase once you leave paypal but with Zen Cart you actually pay only after completing all the 3 steps in Zen Carts checkout process - which in this case are not yet completed as you leave Paypal.

I wouldn't be surprised if one or two customers would get confused and wonder where their download disappeared (I sell digital products) since they have already left Paypal...

Have someone experienced this kind of confusion? And in case you have, how did you make the Express paypal more fool proof?