Suppose I'm finalizing the payment with DoExpressCheckoutPayment and receive a status other than Completed in PAYMENTINFO_0_PAYMENTSTATUS (for example - Pending). What am I supposed to do next from PayPals perspective - will I be notified to my PAYMENTREQUEST_0_NOTIFYURL when it resolves to Completed or should I give up right there and simply consider it failed?
Yes, when the status of a transaction changes you will receive an additional IPN with the same txn_id.