I know that if I go to my own library on desktop, I can download actual files and move them around and do whatever I want with them, I thought maybe that was why I couldn’t find the download to watch later option, so I went to a shared library, and the option isn’t there either. you can see where the option exists on mobile
Are you using the browser or the desktop app?
Does this page have your answer? https://support.plex.tv/articles/downloads-overview/
It does seem easiest to use your filesystem and just play them with VLC. Is there a reason you don’t like that option?