StageShow records sales using the PayPal IPN (Instant Payment Notification) mechanism, so this is probably whee your problem lies.
Firstly check that PayPal is sending IPN notifications.Log in to your PayPal account and go to History->IPN History. Change the date filter to include the sale that you want to check and click "Search". You should see an entry for the sale in the list. If you do not see any IPN requests then the problem lies in your PayPal IPN settings.
Now click on a message ID entry in the list to see the details of the IPN request. For a successful IPN notification the "HTTP response code" should be 200. I suspect that you'll have something else. (Details of HTTP response code can be found at http://www.w3.org/Protocols/HTTP/HTRESP.html).
Assuming the response code if not 200, attempt to open the "Notification URL" in your browser. This is the URL that PayPal attempts to open to initiate an IPN transfer, and must be publically accible. The response in the browser should be the single word "INVALID". Any other response implies a problem with accessing the IPN URL on the stageshow plugin.
You don't say what version or stageshow or stageshow+ you are using. If you still have problems, then email me via the contact page on my website, with you version details and we'll go into more details.