Did you first click on the latest backup that you created by clicking the first button? Did you wait for the backup creation to be finished?
Download Backup downloads the selected backup.
Yes, if you create a backup, it will take a while until it is done. After that you should be able to download it.
You can create a backup of any environment your application uses. When the backup is created (this could take a minute or two) you can download it, and you can choose to download the full backup (including files) or only the data.
When the backup is being created, or downloaded, your application will remain online. Your users won't notice a thing.