Hello NewMP655,
Thank you for posting in the Apple Support Communities. From our understanding, downloads pause when the lid to your Mac is locked or closed, and we'd like to assist.
It sounds like you've reviewed your sleep and wake settings. To double check, you might want to prevent your Mac from sleeping automatically when the display is off. This macOS User Guide helps explain this feature:
Set sleep and wake settings for your Mac
On the other hand, if you're finding that downloads are pausing when the Mac isn't in a sleep setting, and you're downloading or updating apps, these steps might help:
If you can't download or update apps on your Mac
From there, resetting the SMC can help resolve many unique issues related to power or with display responses when the lid is closed. Here's how:
How to reset the SMC of your Mac
We hope this information is useful. Kind regards.