As far as I am aware when using PayPal Sandbox you can see that transactions have taken place in this virtual account but it doesn't stretch as far as sending emails out.
I had this problem so I didn't know if it was working as it should or not in reality, when I eventually went live it turns out transactions take place and the customer gets an email with download link BUT I have had this problem which still persists to this day whereby a customer purchases an image, I get payed via Paypal (email notification received) but their download link results in a 0 byte file download! ie. they get nothing!!
It's atrocious and I wouldn't expect to get too much help from support!
Believe me, it's a long rocky road is this going seemingly to nowheresville!
Good Luck, you're going to need it