How customer select shipping method if they go to PayPal in the shopping cart page?

the only payment option I'm using the PayPal express checkout. I don't understand why they put the PayPal express checkout button in the shopping cart page. Now customers would click that orange PayPal button instead of clicking on ZenCart checkout button. And if they click the orange button instead of the going thorugh ZenCart checkout, how are they going to select the shipping method that is asked in step 2 of checkout?

After they go to PayPal, they are sent back to your site to select shipping and (if enabled) coupon options, and then do final transaction confirmation on your site.

The strange things is that after customer clicks "Express Checkout" in the shopping cart page. And then they type in their shipping address in PayPal-hosted page. Paypal redirect them back to "step 2" of the checkout which is where they put in the coupon code (if any). I thought PayPal is supposed to redirect them to "step 1" where they select shipping method.

Do you know why PayPal directs them to step 2 instead of step 1?

Is it necessary to go into PayPal and turn on Instant Payment Notification and enter a return URL if I am just using Express Checkout? The instructions linked here did not say to set IPN in PayPal. Would it make any difference if IPN was set or not set in PayPal?

The default setting in your store for Express Checkout is to automatically select the "cheapest" shipping method, and take the customer to the Step 2 (if coupons active) or step 3 page, conceptually to accelerate their way through checkout.
They can always go back to the shipping page manually if they want to adjust the shipping options.
Or, if you want it to force them to stop on the shipping page to make a selection, simply turn off the "auto-select cheapest shipping" option in your Admin->Modules->Payment->PayPal Express Checkout settings.

Express Checkout does not require you to enable IPN, but if you do enable IPN, then any updates you do to the transaction via your Paypal account console, will also be reflected back into your store's order history/comments, including refunds if any.

That's perfect. Exactly the info that I needed. Thanks.