Paypal Settings, IPN, return url?

I can't make paypal payment work on membership plugin with sandbox.

I have configured only paypalexpress gateway. User click on subscribe, its redirected to paypal.

I enter details, click pay and then i need to click on return to test site button.

When it returns i get the welcome screen with the thanks message.

But the subscription is not applied. I can see transaction completed on paypal. But there is no transaction on membership side.

Do i need to enable IPN, return url or something? There is no such information on the docs

Could be the problem im using this on my local server?