It works for files, but not directories.
In the File Manager, if you're in a directory with files in it, you can manually select one or more files, and the Download button works. If it is more than one file it will ask you, "You are about to download multiple items at once. Are you sure you want to do this?" and if you click "OK," then it downloads each file to your download folder. You see a parade of the download icons flying across your screen, one by one. You end up with all those files in your Downloads folder.
But if you click on a directory, the Download button is greyed out and won't work. What would be really nice is if it did work, and you could download an entire directory of files by clicking on it, and it would create that directory on your local disk and put the files into it. And if there were subfolders in it, with their own files, it would download the whole thing, keeping the subdirectory structure intact, and all the files in their proper subfolders. Much like an FTP program works.
I have thousands of small images of products in subfolders, and I was trying to use the Cyberduck FTP application to download the whole thing with one command, but I kept getting timeout errors. I don't know if it would be any better if File Manager could do the same download, but it would be really nice to have that as an option in File Manager.