See subject - I ran into this issue when I decided to organize my creative cloud files online at assets.adobe.com but this also applies to the desktop app.
Right now, you are only able to download files one at a time (unless they are in Lightroom Photos, in which case there is a downloader you can use to get this function). Furthermore, you are not able to download folders. It doesn't make sense - sure, you can make a folder, but you can't download it...?
It's a double-edged sword of irritation, because (1), you can't download a single folder and get all your assets at once that way; and (2), you still can't select all the files for downloading once you're in the folder either.
I'm sure many others would agree that fixing this would be a great QOL update!