Membership - user redirected to Protected page after paying with Paypal

When a user subscribes to a "free subscription" the user gets redirected to a welcome page we created called http://ourdomain/welcome

But when a user subscribes and uses Paypal to pay for a paid subscription, the user is being redirected to the URL http://www.ourdomain.com/protected and getting our "protected" message.

In the plugin Paypal settings, it says
"In order for Membership to function correctly you must setup an IPN listening URL with PayPal. Failure to do so will prevent your site from being notified when a member cancels their subscription.
Your IPN listening URL is: http://www.ourdomain.com/paymentreturn/paypalexpress/"

We have the URL "http://www.ourdomain.com/paymentreturn/paypalexpress/"
setup correctly in our Paypal account.

In Membership->Options we have a page called "Welcome" in the option "Registration completed page"

How can we get users to be redirected to /welcome after they pay with Paypal?