No, you should not have a PP_DirectPayment.php page. wen using Direct payments (Filling out the checkout form on the checkout page, it brings you to the confirm page.
When using express checkout, it uses the pp_confirm page.
As for trouble shooting the errors, When you add the failure response binding, the error will be included in the string, make sure you are adding both the Full Request and the Full Response the page. Add some text in front of each to separate them. the response will contain the error.
