Hello @agusgonzalezs
thanks for reaching out to us.
When the order has been set to pending, this means that the order is pending to be completed manually by the merchant after the products have been sent out. When the payment has not been received, the status should be set to “pending payment”.
So this is working as intended. If you are interested, this page will explain a bit further how the order flow works: https://docs.woocommerce.com/document/managing-orders/
I had a chat with one of our developers and I was told that we update orders when receiving an event from PayPal using WC update_status method, it seems WC provide a hook for this: https://hookr.io/plugins/woocommerce/3.0.6/actions/woocommerce_order_status_changed/
This could be something you can look into in order to get the outcome you are looking for.
Let me know if you have any additional questions.
Kind regards,
Joost