When the file is kept in the “downloads” directory it can give you a 404 on some servers due to the protection that is put in that directory but the customer will be able to download it when they click on the link that is sent out to them after the purchase.
I don’t think this is your issue though because you don’t even seem to get the post payment email with the download link in it.
Do you get a “Payment Verification Failed” email from the plugin?
Did you test it in “Debug Mode” explained here?