Currently the problem is the ASP.net webforms. You see paypal wants a form to be posted to them. However ASP.net WebForms in order to work usually on each page you have a form tag like :
We cannot change and send this form to paypal because it contains a lot of fields and data that as for us and our postbacks and not for paypal. Also some IE versions don't support nested forms and it is not recommended using nested forms or anything like that so what we currently do the following: on a blank page with no controls and nothing we print the form for paypal and we submit it right away. However because paypal sandbox is extremely slow you see a blank page for 3-4 seconds and because we didn't wanted the client to think everything got stuck we print this message.
This is a message also printed by some competitors. Some ecommerces and website doesnt print such a message because they first dont use asp.net and second on the client side they already have this form populated and waiting you to click SUBMIT so they send this exact form to paypal without a trip to the server to populate things like payment method url, bussines email and etc.
About your other question why do not redirect when you click PLACE ORDER. Well same reason because we already have a form and we cannot have a second form inside this form to send to paypal.
We will think about a different solution for future versions.