Strange but not on my mobile, it actually downloaded them into my file folder on my iPhone.The files have to be downloaded as their PDF files, then you can just view them or save them. I have them all saved on a storage hard drive.
The links take you to a website, no downloading required.
Same on Android. Auto saves in Files. Suppose I can turn that off. On Windows, the PDF files open in the browser, then I can choose a location to save them. Figured you were on Windows.