Does this mean something went wrong on my end (basically with some setting in Auctiva or PayPal), or on the buyer's end? Or am I supposed to be seeing this message?
The presence of "Checkout Incomplete" status by a sale on your Auctiva "Transactions" page indicated that the buyer initiated the checkout process and then decided not to complete it at that time. A buyer could do this for any number of reasons...perhaps the buyer decided he/she would rather checkout later, or maybe he/she experienced a technical problem during the checkout process and had to abort.