And, after one adverse incident, I am very diligent about exercising that download option. Turns out, artists can withdraw themselves and their music from the platform at any time, which leaves customers without access... mostly. For some reason, I still have access to that music on my phone, though I haven't tested whether that's only thanks to the local cache.
There are two options for artists/labels on Bandcamp if they want to remove an album from sale, for whatever reason.
One is to deactivate the album, which removes it from public view, but keeps it in the backend, so people who bought it still have it in their collections.
The other is the "nuclear option" of completely deleting the album everywhere, which also takes it away from the people who bought it.
While I can understand why they need to have the latter option, probably for legal reasons, I do find it troubling that something I've bought can just be arbitrarily taken away from me.
It really should be impossible to completely delete content from Bandcamp, without contacting them first. It should not be an option directly in the artist/label control panel.
Now I'm back to a ~25K track FLAC library and a small collection of LPs for fun. It's backed up to a NAS, to a cloud storage account and to a portable drive I keep in my locker at work. Nobody gets to take the music from me.