it takes you back to the site the purchase was made, you can connect the same paypal account to several different sites, just use different emails for each site, paypal will redirect the customer back to the site they came from, not just to the site the paypal account was originally connected to in the first place.
just create different emails and add them to your paypal account,
ie,
paypal@shopone.compaypal@shoptwo.compaypal@shopthree.com etc
buy from shop three and paypal will redirect the customer back to that shop, and send the right data to that shop for the payment to show in admin as "recived" or "refunded" or what ever action has been made.