Hrm, they used to auto-redirect to the thank-you page after checkout; perhaps they don't anymore, or maybe there's a setting in your 2CO account to enable that now?
BTW, the main reason we offer the 2CO option is for benefit of sellers outside the US or UK who need an alternative to PayPal. Sellers in the US or UK with a similar need would probably do better to consider Google Checkout and/or Authorize.Net as PayPal alternatives before resorting to 2CO, not least because those payment methods are supported for our shopping cart with benefit of the full range of our features, whereas we can only support 2CO with Buy Now buttons that bypass the cart and take buyers to instant checkout for just one item at a time and thus cannot use any of our cart-based features such as shipping, tax, or discount calculation.