That requires the use of IPN, which is not built directly into this plugin.
We have another plugin, PayPal IPN for WordPress, that can be used to update the status of the WooCommerce order when it receives notifications. It does not yet automatically do this for you, though, so for now you would have to build your own hook function to get that done.
Are you familiar with that sort of thing?
We do have an issue in our GitHub repo for this already, and it's planned to be included on our 1.2 update.