Cancellation - Membership plugin - How can customers cancel subscription?

When members signup to my membership site they do so via the integrated PayPal solution.

However, when they cancel their PayPal payment (via PayPal), it doesn't seem to cancel their account in the Membership plugin?

Also if I cancel their payment via PayPal, their account in the membership plugin is not cancelled either.

What am I doing wrong?

Thanks in advance!