Which version of ASPDNSF are you on?
1) No, you don't need to sign up for advanced or pro, but you do need to sign up for a business account to get the API credentials. PayPal express is separate, it will funtion even if gateway is set to Manual.
2) A couple years ago PayPal discontinued the anonymous checkout feature of PayPal Express. This was a dealbreaker for us too and I had to switch to PayPal standard.
3) Sounds like something might be wrong with your return URL setting. Check the Auto Return URL in PayPal selling tools is set to yoursite.com/PayPalExpressOK.aspx -- You might also want to check the PayPal.Express.ReturnURL setting is set to PayPalExpressOK.aspx
We were told by Vortx support that PayPal told them Standard Payments will be discontinued soon and that it was not even included in v10. We recently updated to v9.5.1 and the Standard Payments implementation has some serious bugs and we were told to switch to PayPal Express. Guess it's time to say goodbye to anonymous checkout on PayPal.