Hi,
Yes PayPal must return the payment status in order to allow HikaShop to update the order status and then send the email with download link.
Are the orders correctly changed to "confirmed" status ?
If not, thanks to check the PayPal payment method settings and check if the confirmed status are correct.
Enable the debug mode, process a checkout and then in Configuration > Main > Files, check the content of the payment log file to see if there is any returned error.
Here is documentation about paypal:
hikashop.com/support/documentation/integ...nt-paypal-error.html