This has worked for me as suggested by one of the members here:
When you press the link “Activate PayPal Express Checkout” it takes you
through a series of steps before you are asked to
“Complete Your Setup Now”
At this point, there is a smaller link below “Return to Shopify” click on
that. It will take you back to Shopify and the connection
would have been done.
In case if you still have an issue check within Paypal for an error caused
by earlier attempts
Trust this works for you. All the best.