okay - i have followed the exact steps you mention and seems like you are correct , able to re-produce the result.
But After that i have gone through the documentation/user guide of magento 2(CE - open source) and conclude that its native nature of magento 2.
i have found that below usefult thing from documentation.
Guest checkout of Downloadable products is only working with Shareable option Yes.
That means when we are using Guest checkout for Downloadable products we must need to enable Shareable option from the configuration.
So it will only send that link to the customers email id.
After that even though you create account it will still not shows in my account because Shareable is yes and then we can only send Downloadable products to customers email only.
For more information refer this link - http://docs.magento.com/m2/ce/user_guide/configuration/catalog/catalog.html#DownloadableProductOptio...
Note : Guest checkout is only available for download products if Shareable is set to "Yes."
Hope it helps and correct me if i am escape something
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