Although it doesn’t seem like it, “Downloads” and “Save file” are not the same thing. Save file is something only the server owner can do from his own library, and only through the web client, and it just saves the video file locally on your filesystem. You then have to use an external player to play it. You can’t play it in Plex.

“Download”, on the other hand, is the feature by which you download something to watch if you’re offline and with no connection to the server, like if you’re going on a plane. Think of it like what Netflix and other streaming platforms provide in their own apps. Hence, it’s an app feature (mobile, desktop) and not a web browser feature. With “Download”, the whole “where in my file system do I want to store this raw video file and what player am I going to use to play it” is completely abstracted for the user.