Maybe it thinks its already downloaded them somewhere, we have no idea unless you determine whether AD is using remote or local content, then you'll be able to see exactly where AD thinks the files are.
Texture Cache Maintenance Utility: Preload your texture cache for optimal UI performance. Remotely manage media libraries. Purge unused artwork to free up space. Find missing media. Configurable QA check to highlight metadata issues. Aid in diagnosis of library and cache related problems.