Express Checkout by itself will always redirect through PayPal’s checkout pages and is most suitable for people who are actually “paying with PayPal” and would be logging in.
Payments Pro would be the credit card option, and would be processed through a form directly on your site as opposed to being redirected through PayPal. Users would simply enter their card data and would have no idea PayPal was actually processing it on the back end.
So in that case users would click the PayPal button to checkout through Express Checkout, or they would just choose your credit card button to stay on the site and pay that way, which is what most users are most comfortable with when paying with a credit card.
Payments Pro costs $30/mo, though, on top of the transaction fees, and many people don’t like to pay for that, so that’s where an adjustment with Express Checkout can be made to accommodate both PayPal and credit card users through the PayPal checkout pages.
So, if you just stick with Express Checkout only, then it would be recommended to set those options for guest checkout. This will give people who don’t have PayPal accounts the ability to go ahead and enter credit card details to pay without logging in or creating an account, but they would still be doing it on the PayPal pages.
If you don’t have a problem paying the $30/mo fee for Pro I would recommend sticking with that and then treating Express Checkout as a PayPal payment option without guest checkout options. If you’d rather avoid the monthly fee, then scratch Pro and setup EC only, and set it to use guest checkout.
Hope that all makes sense!