If you are having a nightmare with downloadable products on Magento 1.4.x using PayPal express then please add your comments to the bug report here: http://www.magentocommerce.com/bug-tracking/issue?issue=10108 - it seems Magento development and bug tracking is becoming too much for Varien as there are just so many pages of unassigned bugs that it is painful to look at.
Don't get me wrong, Magento CE is free and delivers a great deal of functionality but releasing a version of Magento that hasn't been tested with PayPal is poor and shows that the company are not that interested in the free version or are having major problems at the moment trying to tame the beast they have created.
