The PayPal gateway thank you page can be set only when you are using the PayPal gateway as a PayPal button on a product page (without the order form).
Please see the order form thank you page confirguration if you are using the order form.
To enable the thank you page (a page where the user will be redirected after the payment is done) you will need to go to PayPal settings located in the main tab of Product Settings.
To enable the thank you page simply use the drop-down and select the page which should the user see after the payment is processed.
The thank you page setting will not be visible if the Order Form is active.