OK, here's the mistake I made. In PayPal.gateway I had
<paymentURL>https://sandbox.paypal.com/cgi-bin/webscr</paymentURL>
instead of
<paymentURL>https://www.sandbox.paypal.com/cgi-bin/webscr</paymentURL>
So now I am getting a customer Payment Confirmed email on returning from PayPal.
There is still no email of the order going to the store.email address though. Should there be?
Thanks
Terry