downloading multiple files isn't possible in this method, what I do is use a java action to take a list of documents zip them and just download the zip file.
Heres the java if you wanna use it:
Input params is just a list of system files. And a string to name name the zip file. And it returns a system file which is your zip.
Fill a bug report if you think this should be possible. Workaround for the time being could be adding the files to a zip file and download the zip file. Perhaps a feature request to download a list of system.filedocuments?
Didn't test it, but maybe another way to accomplish this is by using the microflow timer widget. With the microflow timer widget, you could start multiple asynchronous download actions.
Place the widget on a form and let it start a microflow every second. The microflow called can start a single download action each time it is called, until the list with files is empty. When the list with files is empty, the microflow can close the form.