This isn't a bug and is normal operation. This is the content you download when you use Content Manager to download and install the content from the DLS. These are found in the User-data/cache/internet folder, where User-data is the place where all your Trainz TRS2019 content resides.
Therefore, since they are program-controlled installs, they won't go into your normal internet download location you use when you download content and other things from around the web.