PayPal Payments Pro Express Checkout, as with PayPal Payments Standard checkout, require the buyer to manually click past the end of Checkout to reach the thank-you page where third-party conversion tracking would typically occur.
PayPal can be made to Auto-Return the buyer, which we don't recommend for download sellers as it would impede our ability to provide download links to buyers immediately following checkout. Since I think you're selling only tangible goods, see the section "If you are selling only tangible goods" on this help page to set up the Auto-Return at PayPal's end:
http://www.e-junkie.com/ej/tips.tracking.conversions.htm
