If you want the link in the grid, you could consider doing this with the DeepLink module. You would need a microflow which would return the file for download based on the input you pass in the link (This could be fileID or object id which would allow the microflow to retrieve the FileDocument for download). The URL needed to trigger this microflow would then have to be generated and displayed as one of the attributes in the grid. However I'm not sure if you can make it function as a link this way or if users would be able to just click it.
Alternatively you'd have to add a button to the datagrid control bar which returns the file associated with the selected entry. (Just pass the object, retrieve the file object and return this with the download action)