1. Customer chooses Check Out with Paypal Express
2. Will be transfered to Paypal Checkout
3. Payment will be done
4. Customer Returns to /paypal/express/review/
5. There the Payment Method is changed to a different one.
==> Customer doesn't realize it
6. Customer confirms Terms and Finishes
Payment from paypal does not get through.
Do you mean change Payment method or change Shipping Method? The payment method is PayPal so it would be strange to get an option to change from this on the paypal review page.