Yes. It was like that with the old oscommerce shop (Merchant v2.2 RC2a) and PayPal Website Payments Standard Version: 1.0 and now with Version: 3.1 of PayPal Standard.
I am not shure what to fill in for the Redirect_URL at Paypal. At the moment it is checkout_success.php, yesterday with the payment is was checkout_process.php, I changed it now to checkout_success.php, not shure. The order is there, the customer notified about it.
I'll also try the hint of Gergely with better Preparing Order Status. Will see, the payments with PayPal are rare at the time.
Andreas