To download an entire course (both audio and video) ..... do I need to download everything where it says “Download” on the course homepage?
Not necessarily.
Depending on the "age" of a course, everything may not even be available on the course homepage.
Then again it might.
You might see download links for "zip" files of "All Videos" and/or "All Audio" on the course homepage.
And/or download links for individual lessons
on their own page.
More recent courses may have all options available.
The options you choose may depend on your internet capability.
(For my first several courses 10 years ago I had to go to the public library and download each lesson's video and audio separately.)
I don’t think any course can be downloaded in its' entirety in only one file.
The “manual” and “intro” video are separate downloads from the intro page, as well.
(If downloading zip files you may end up having to organize the individual files yourself.)