PPLNS acts like the reward 'ramps up' when you first start mining. What actually happens?

The 5Nd means it takes that long to reward your shares.
The ramp isn't missing rewards, it's delaying them to reduce variance.
Each share is rewarded in all the blocks found in the 5Nd after the share.
That's simply how it reduces variance. Each share's reward is averaged out over the 5Nd after it.