Hey Jason - Sometime in the past month or so, after upgrading either PMPro (we're on 1.6.1) or WP (we're on 3.5.1), our extension to include the user's first and last names stopped working.
Specifically, it's still showing the fields on the signup screen, but they're not being captured in the user meta in WP after the transaction is complete. It saves only the default PMPRo user fields.
We're using the PayPal Standard integration and had implemented the code from http://www.paidmembershipspro.com/2011/09/add-first-and-last-name-fields-to-the-checkout-form/ (also tried https://gist.github.com/1389944 ). We've disabled all but the PMPro plugin and our customization plugin to test, no dice.