IPN in PayPal Express Gateway

I have a wp install on a subdomain using Membership. I set up a subscription for 1 NKR pr month, and did some testing.. I did the payment from one PayaPal to another using PayPal Express Gateway.
The result was that I had to confirm the incoming payment in my PayPal account before the payment was confirmed. And the subscription was not set in Membership. I checked all settings without any luck.. Today i got a message from PayPal saying:

the following URL(s) are failing:
http://sub.mysite.com/paymentreturn/paypalexpress
If you do not recognize this URL, you may be using a service provider that is using IPN on your behalf. Please contact your service provider with the above information. If this problem continues, IPNs may be disabled for your account.

Is this a setting for the PayPal account or a setting in Membership?
I have not set the IPN url in my PayPal account..

Espen