Masonry Gallery downloads full images not thumbnails

That’s indeed to be expected. Jetpack’s Tiled Galleries module uses Photon to resize your images on the fly. However, since you’ve activated Jetpack’s Development mode, Photon can’t be used on your site, and the galleries can’t use a local resized version of your images since each image has a different size, that may not match any of your local resized images.

I’d consequently suggest switching to the default gallery type and using the size attribute in the gallery shortcode. Another alternative would be to disable Jetpack’s Development mode and connect your site to WordPress.com.

I hope this helps.