The short answer is it is not currently possibly.

With the current DAM structure we do not allow users to download an entire directory and sub-folders. This was designed this way to save users from other problems. For example, if a user selected an entire property, with all of the sub-folders and assets, and that property is 25.09 Gig (ie 100% "Artic's Edge" see below), it would take that user 5 hours 57 minutes (https://www.download-time.

So, what do we suggest?
You can create a custom list of all the assets you actually need from each folder, and then download your custom list.
Check out our Knowledge Base solution here: How to create a custom list
