Subscription not working through PayPal Express

I have a subscription set up through the PayPal Express gateway. The gateway is configured through the sandbox and with a correct sandbox merchant account email. When the user clicks through to PayPal to purchase the subscription, everything works properly on PayPal's side - payment made and all using a test consumer account. However, the payment never appears in Membership at all - not under Recent or Pending:

I'm running the install locally, but I've read that should work just fine since I'm not using IPN or anything.

Does the user need to use the same email on PayPal as their account on the WP site, maybe?

Any suggestions are appreciated. Thank you.