By default, Zen Cart is setup with this as true:
Download by Redirect
Use browser redirection for download. Disable on non-Unix systems.

Note: Set /pub to 777 when redirect is true
and this as false:
Download by streaming
If download-by-redirect is disabled, and your PHP memory_limit setting is under 8 MB, you might need to enable this setting so that files are streamed in smaller segments to the browser.

Has no effect if Download By Redirect is enabled.
Have you tested an order with a download to see if there are any issues?