Download all selected media at once as a ZIP or something would be useful feature.
You could use this script (only the part of the assets, not the records) to download every single asset in your media area locally: Import and export content - Exporting data and backups - DatoCMS Docs
Are you referring to an UI button to do this from the dashboard?
If so, let me know your use case
Yes I was referring to UI feature, when you select assets to have an option to download selected assets at once.