When an order is in "Pending" status, that means the store hasn't been informed that payment has been completed for that transaction yet. Thus, no download links are offered to customers. You don't want them downloading if their payment hasn't completed, right?
If you've got your PayPal module set up to operate in "Authorize Only" mode instead of "Final Sale", then the transactions will be in Pending status.
Or, if you've got the payment module settings configured such that the Order Status pulldown is set to "Pending" instead of something higher like "Processing", then the transactions will, obviously, be put into Pending status.
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