Yes I am aware of download button , but consider every course is ~50 distict video and also consider our downloading time you are going to agree with me about downloading is extermely painful ,why they just doesn't put whole material (at least just videos) like the way udacidy does.
You can download the lectures using the edx-downloader: https://github.com/shk3/edx-downloader
Are you sure you can't download, or maybe they've changed recently.