You have to retrieve all selected objects based on your checkbox in a microflow. You can then add a download activity per object in the same microflow. You also need to make sure that the checkbox attribute you changed is committed when it is changed or you won't be able to retrieve it.
You can achieve what you want by separating the microflow download actions by calling them separately from a nanoflow.
This will request the user to allow the application to download multiple files.