Well I couldn't let it go - and I'm glad I didn't, because the plugin was in fact working, I just wasn't implementing it right - and even worse, I've given you some bad information.
To correct the record:
The shortcode mentioned in the helper plugin readme doesn't have anything to do with the added fields, I think it's just a second feature that this plugin offers. The fields you add with the plugin will show up on the regular Membership Checkout form but not on a checkout form rendered through the pmpro_signup shortcode
The bigger issue though: This plugin is for adding *new* fields - and the first/last name fields already exist on the WP user record. (I was going off info from this thread http://wordpress.org/support/topic/rrequire-firstlast-name-extension-no-longer-working?replies=6 but I think I got confused).
I actually don't know how to display the WP user first/last name fields with PayPal Standard. And I don't think you'd want to have this plugin create new fields since those two fields already exist.
One thing you might try: In PMPro, you can switch the payment gateway to PayPal Express and then use these instructions: http://www.paidmembershipspro.com/2011/09/add-first-and-last-name-fields-to-the-checkout-form/
We're using the PayPal Express gateway with PMPro even though our PayPal account technically is "PayPal Standard" and it works fine. So that might be the easiest.
Sorry to send you on a wild goose chase! The good part of PMPro is that it's completely open and you can do anything you want with it; the sometimes-challenging part is making it do exactly what you want, given all the options out there. I just bumble along to make stuff work, am not an expert - obviously right? ;-)