On the Payment Modules there are Order Status settings ...
NOTE: PayPal does not use the CC from the Zen Cart checkout_payment page ... that is the Credit Card Module ...
The Orders Status settings for PayPal are usually correct as they are ...
If you do, infact, want to use manual Credit Cards ... edit the Modules ... Payment Modules ... Credit Card cc ... and set the Orders Status to >=2 (Processing) <= 4 (Updated) ... which make Downloads immediately available to the customer ...
NOTE: Credit Card is a manual credit card module ... and you may not wish to give the orders_status a setting >= 2 or <= 4 as Downloads would be immediately available before you run the credit card manually ...
NOTE: Pending (orders_status 1) will make the customer have to wait for approval on the order before a download is available ... especially nice for Check/Money Order ...