Out-of-the-box, all I do to enable PayPal Express Checkout is go to my ZC Admin->Modules->Payment, click on the EC module, click Install, and fill in the settings for my API keys obtained from my PayPal account. I leave everything else in those settings as they were as defaults.
And, so for me, using a US store with a US address and a US paypal account and USD currency and US tax rates ... it works immediately.
Now, why isn't it working right for you? Well, I'd need to know EXACTLY how to make my store (assuming I'm using a brand new clean uncustomized install) work exactly like yours. What settings do I need to change, everywhere, to trigger your same symptoms? Therein lies your answer as well.