Thanks for your reply James.
Auto return has been turned on and set to yourubercartsite.com/cart/checkout/complete and still now luck. I've attached a screen shot of the issue. I guess it has to do with paypal trying to capture the new user's details, and not allowing the auto return.
My question is should Ubercart be using IPN to pass the successful transaction back to Drupal, or is it only passed in the URL when Paypal redirects to the Drupal CMS.