your assumption on how this should work is not correct.
the work fow of the 2 checkout processes should be:
1) Express checkout -
On the checkout page, the customer clicks the checkout using Paypal Express Checkout button, this brings the customer to the paypal site where they select there payment method and set shipping location. this then brings them to the pp_conform page on your site where they can confirm whether to place the order or not, conform processes the transaction and sends them to the pp_success or pp_failure page depending on the outcome.
2) Direct payment -
On the checkout page, the user files in their credit card info, billing and shipping address. This posts to the confirm page where they can elect to process the order. If they process the order, the transaction is processed through the gateway and the user is directed to the success or failure page depending on the outcome.
I think the problem you are having with this working is the trigger for the various beehaivors involved.
On the checkout page double click the Authenticate Transaction With PayPal Express behaivr and select the button PayPal_ExpressCheckout_button press trigger.
On the confirm page, double click the Local Checkout server behaivor abd select the Button Submit_order pressed trigger.
To be honest, this is sort of why I suggested working with Craig to implement this in the first post.
We created the checkout wizard because of the inherent difficulties in setting up the paypal payments pro system. I eCart 3, we had documentation that walked through step by step how to implement it, but the vast majority of people that tried failed. Not so much because of the documentation, but because of the complexity of the system, and the amount of basic understanding that needed to be in place before attempting to configure it.