1) To keep the e-mails from hitting your spam box, you can add our E-junkie addresses to your e-mail address book within Gmail.
2) E-junkie will send the buyers a thank you e-mail with a link to the product as soon as the payment is processed. As long as you have your PayPal account setup to automatically process payments then Paypal should list the transaction as completed. E-junkie does not change anything in your eBay account or leave any feedback for your buyers.
3) Once the buyer's payment is completely processed they will be directed to a page where they can download the file they just purchased.
4) It is always possible that buyers can have problem receiving their download link, this is often because of an error in the setup. As for the e-mail ending up in their spam folder, I have not heard of any specific time this has happened, but there is no way to control something like this, since each buyer can change the protection level on their spam/junk folder.
To make sure you setup the integration between E-junkie and eBay correctly please check out out eBay FAQ page here:
http://www.e-junkie.com/ej/help.ebay.htm