App is sandboxed. That's why we use one of the well-accessible directories (Movies, Pictures or Downloads) to store downloaded data from GoPro camera. If you do not like it, you can select items and drag them outside the app and drop them to any app that supports dropping (typically Finder).

If you select items for drag & drop, selection check boxes do not matter. Dragged are these items that are selected in the view when you start drag opearion.

Status box in the main window informs you about the progress of the download. The number in the brackets is equal to the number of remaining items.