Excuse me, you are correct. See this forum post: https://forum.mendix.com/link/questions/6444
There is also a multi file download widget in the appstore, maybe this could help.
If the input parameter of the microflow the datagrid is a list, you should be able to get the selected objects into the microflow.
If you right-click on the microlfow button and go to > 'edit microflow settings' you can select if you want all the objects of the datagrid or your selection.
If you then iterate over the list of documents and use the action 'download file document', the microflow will download your selection of file documents.
I found the setting you were talking about. I passed only the selected, not all the files. however If I try and download a selection of multiple documents I get only the last document.
Any new ideas?