The [%download_link%] variable is product-specific, can only be used in a product's templated Email Message field, and inserts a URL that leads to a thank-you/download page for only that one product, regardless of any other items in the buyer's order.
The [%thankyou_link%] variable is order-specific, can be used in either your Common Thank-you Email and/or product-specific Email Message templates, and inserts a URL that leads to a consolidated thank-you/download page for every item in the buyer's order.
Product-specific thank-you page Message (HTML) customizations are added to the thank-you page after each product's name and download link, then your Common Thank-you Page HTML is added at the end.