Paypal refund not changing order status

When I create a test order from my site, and pay using Paypal, I receive the administrative confirmation email stating that:

A Paypal notification was received with the status Completed. The order is now confirmed.

I have verified on the orders screen that the state of the order has changed to confirmed.

However, when I refund the money on the Paypal site, I get another administrative email saying:

A Paypal notification was received with the status Refunded. The order status was not changed

Can you think of a reason why the status would automatically change for a payment confirmation, but not a refund?

FYI, I am using the Paypal sandbox to test this out.

Thanks!

Good enough for me. Thanks for the explanation. I just wanted to make sure I didn't have something configured incorrectly.

Thanks!