Hi,
Note that you're talking about "PayPal Express". I suppose that you're actually talking about "PayPal Express Checkout" which is an API of PayPal to display a "PayPal Express" button in the cart. The goal is to skip the checkout on your website and use PayPal's checkout instead. So it's normal it doesn't display as a normal payment method during the checkout. The payment method has display settings to choose whether to display the button in the cart module, etc.
It might not be what you want to use. Usually, merchants with a PayPal account want to use the "PayPal Checkout" payment plugin which displays as a normal payment method during the checkout.
Regarding the return URL, you usually want to leave it empty so that HikaShop can display the default thank you page.