Many of the features of the plugin require the link to download the file to go to a php program in order to work (download.php in this case). By making things go through download.php, the plugin can do things like check to see if the link has expired, mask/hide the actual file location behind the download.php?abunchofletters link, decide whether to actually go get the file itself & send it to the visitor (even if a remote URL) or instead redirect the visitor’s browser to the URL of the file, use Download Monitor to get the file information & increment stats, handle error cases like when the file is missing or inaccessible, etc.
I can imagine a few people might not care about any of those features and would be fine if the plugin just displayed a direct link to the download file rather than making it go through it download.php, but you’re the first person to actually mention it.
Frankly, I’m not sure that there’s really that much security benefit to that setting in securi (or wordfence or any other security plugins that do that). If you have found some hole in someone’s system that allows you to write .php files into wp-content, then the fact that you cannot directly access & execute those using your browser is probably not going to stop that many people. All a hacker would need to do is replace some legitimate PHP file of some plugin you have installed & then cause that plugin to execute somehow. If all you have are admin-side plugins, then he would have to wait until you logged in as admin and then his replacement PHP file would run. But, if you had something like a shortcode plugin and you’d used shortcodes on various pages in your site … or if you had a backup program that ran nightly .. or if you had like a mailchimp signup page and a mailchimp plugin .. then he could just replace one of the legitimate PHP files in those plugins and then go to public pages on your site to make one of those plugins run (or wait until your backup program runs) and his code would execute. Securi or Wordfence will detect the change if you have your scan set to do that, but by then it could easily be too late. Anyway, my 2 cents…