When setting up the Products, you must understand a couple of things about Downloads ...

Download Products:

1 Are NOT Virtual Products - mark this as No, Shipping Address Required


2 Are NOT Always Free Shipping - mark this as No, Normal Shipping Rules

A Product with a Download automatically knows that there is no shipping by seeing the Download filename that is attached to the attribute ...

Download Products will automatically skip the checkout_shipping page ...

If an Order contains Physical Products and Download Products, the Shipping Modules are designed to adjust and not count the Download Product(s) in the charges ...