It is a really good idea to show the “Please wait… ” message. When the plugin submits the payment data to PayPal it takes a few seconds for PayPal to load the checkout page. The “Please Wait” message helps people understand that some work is in progress otherwise they tend to think that the click didn’t work and they click again which restarts the process and so on.
Yes, you can get the lightbox version of the “Please Wait..” message in a later version of eStore. Please see this page to get an update: