Hi Robh,
You need to register as a customer to be able to purchase a downloadable product.
As a customer service, we need to know which customers have purchased which downloadable products so that when they get amended or an additional related product becomes available we can let the customers who have purchased it know about it. You are right that we don't need your physical address or telephone number to be able to offer this service, but the package that we use to implement our web store does not differentiate between a customer who only has a downloadable product in their basket and one who has a downloadable product and a physical product, so we need to create a full customer record each time.
I hope that makes sense, and at the end of the day we are giving you something for free and all we are asking is that you take two minutes to register as a customer first.