Make sure you checkmark Require Buyer's Shipping Address in the settings of each product that should trigger collection of a shipping address during checkout. If you're using weight-based shipping calculation (USPS/UPS rate lookups or custom Rate per weight unit), also make sure you enter a Shipping Weight in each product's settings.
Shipping and Tax calculations are applied in the E-junkie Shopping Cart before checkout, so you must be using E-junkie Cart buttons to use this feature; it will not work with Buy Now buttons that bypass the cart to take buyers directly to instant checkout for just one item at a time.
Although we do a preliminary shipping calculation in the cart before checkout, PayPal's checkout site will not show shipping amounts until the buyer has provided their actual shipping address during checkout, so PayPal can call back to our system to make sure the shipping charges are accurate for that location. This prevents confusing or misleading the buyer in case the address they provide does not match the location they'd specified in their cart before checkout, which may change the calculated charges.