Membership plugin - PayPal subscriptions not being cancelled when user cancels on site

This was happening on the sandbox and I've now changed it to a live site with real PayPal details and it is still happening - I sign up (free 14 day trial, recurring cost every 30 days after that), but when I click the cancel button on the site my PayPal subscription is not changed.

This is a vital part of the plugin that does not seem to work!

Using latest versions of WordPress and the plugin, and using PayPal Express gateway.