Why doesn't safari have a list of downloaded files?

If you want to, you can send Apple feedback. They won't answer, but at least will know there is a problem or a suggestion for change. If enough people send feedback, it may get the problem/suggested change solved sooner.

Safari Feedback

Following up on what macjack posted, try going to Safari/Preferences/General/Remove download list items and set it to your desired setting. Manually will retain the list for you.

Clicking on the download icon should show the list. Command+Option+L also should bring it up unless you emptied the downloads list?