I presume you are using Approach B explained here:
It appears you have that product set up correctly now. However, rather than allowing buyers to proceed directly to their download page as soon as their payment is completed, you are redirecting them back to your purchase page, which could be confusing. We would recommend that you go to your Seller Admin > Account Preferences and delete the Common Thank-you Page URL you have there, then click Submit to save changes. That will allow buyers to reach the thank-you page we generate for you which contains their download links.