What Is Downloaded?
You do not actually download the image into your computer, but it's saved into your webserver/website instead.
When you click on the download button, the highest resolution image will be downloaded into your server. The download process mimics the process performed by WordPress when you yourself upload images, this means that the downloaded image will be resized to different smaller dimensions, and they will have titles & captions too.
After the download, you can use your images anywhere in your site.
Note: When somehow the download process could not finish (for example if the file size of the image is too big and your server is rejecting it), the next lower resolution image will be downloaded.