Photos Library isn't able to download all the photos

Hi! I've created a new library on a extern hard disk, i've set it as System Photo Library and i've checked to download the original files.

Still Photos has to load all the pic al the time i move into the photos and folder, and no space has been taken on the hd. Why? How can i manage to download all the pic or just an album into a finder folder?

Don't know if it matters, library is big <40000 photos and the specific folder is 11000. Could this be a problem not for the hard disk that has enough space but for the app itself?

Thanks!