nochex not upgrading order status to "processed"

Hi - can anyone help me on this - I have Zen cart version 1.3.8 installed with classic template on appache server.
I amtrying to sell downloadable information products in my store, and have set one up so far as a test.
I have configured 2 payment modules for my store - Nochex and Paypal IPN (I have a basic Nochex seller account - not merchant).
I have done a test run of the payment / download process, and taken the product through to checkout, then to Nochex payment screen, made the payment, and then back to Zen Cart transaction complete page.
However, the download button/option was not showing in the transaction complete page.
I checked the Nochex payment module settings, and found:-

Set Status of orders made with this payment module that are NOT yet completed to this value:- PENDING [1]

Set Status of orders made with this payment module that HAVE completed payment to this value:- PROCESSING [2]

. . . which I believe is correct(?)

When I went into the Zen Cart Admin screen, and looked at the orders status, it still read as "PENDING".
The only way I could get the download option to appear in the transaction complete page after the payment was taken, was to go into the order details in admin and manually change the status from pending [1] to processing [2], afterwhich the download button would appear.
So it seems to me that the Nochex payment processor is not telling the Zen Cart checkout/transaction complete page that the order has been completed and so the order status is still sitting in the pending status.
I then amended the Nochex settings to:-

Set Status of orders made with this payment module that are NOT yet completed to this value:- PROCESSING [2]

. . . and went through the whole prder payment process again, and the download WAS then present after the payment screen!
Trying the same thing with the paypal payment option this time, with the settings as:

Set Status of orders made with this payment module that are NOT yet completed to this value:- PENDING [1]

Set Status of orders made with this payment module that HAVE completed payment to this value:- PROCESSING [2]

. . . and it DOES show the download option after payment, (ie no need to set the PENDING to PROCESSING as with Nochex)

My question is, is this a problem with Nochex not automatically updating the order status from pending to processing after the payment is (successfully) taken, or is it zen cart which should update the status once payment is made, or is it simply that Nochex is not communicating with the Zen Cart checkout or transaction complete page?
Should I have to set both of these setting to "processing" in order to get the download option at the end (I don't in paypal)
Any feed back would be much appreciated - thanks.