From the web application at https://assets.adobe.com you can upload multiple files, but not folders. You can only download a single file at a time. File syncing will let you upload folders.
Ways to work around this are to use file sync in conjunction with Collaborate or Send Link (plus Save to Creative Cloud). Any files from a collaboration will be downloaded to the Creative Cloud Files folder on your computer if you are using file syncing. If someone shares a folder public link with Download enabled then you can use Save to Create Cloud to copy the folder to your files. The folder and it's file will then sync down to your computer.