Thanks for posting back with the details. I was able to check on this and verify what you are experiencing. The problem that the link on the pp_cancel page and possibly others is going to checkout.php. This page has the full checkout form on it. Normally the user would not be able to get to this page because the cart would only offer the Express Checkout option.
To ensure that the user goes back to the same place the initiated the checkout from you should update the <a href="checkout.php"> link on the pp_cancel page and point it to cart.php instead.
I'm logging this issue now, let us know if making the change to the link on the pp_cancel page works for you.