Carlos VI,
We appreciate those details. If Desktop & Documents folders is enabled for iCloud Drive, then documents added there should sync across your other devices. It doesn't specifically include the Downloads folder as that is separate from desktop and the documents folder.
If you add documents to your desktop or documents folder and don't notice those syncing, you'll want to ensure that all devices are connected to a strong reliable internet network. iPhone would have to not be on Low Power Mode as that restricts some features: Use Low Power Mode to save battery life on your iPhone - Apple Support
If the issue continues, you can see if restarting all devices involved may help, which may seem like a simple step but it may help with iCloud to sync properly again.
Take care.