Please file a an issue, giving examples of what you tried and what you expected it to do, so I can look into improving it, or at least provide more helpful error messages. https://github.com/downthemall/downthemall/issues
However, right now this error message should only appear when you leave the mask field completely empty...

As for the folder, yes, everything needs to be under the Downloads folder, a limitation in WebExtensions, tho subfolders are supported either with the corresponding dropdown, or dynamically with the mask.

It does start downloads automatically, unless you configured it not to (having used Add paused and then selected to remember this decision). Or you might be expering a bug, in which case I suggest you file an issue here: https://github.com/downthemall/downthemall/issues

Then it's not worth your bandwidth, fine, whatever.
DownThemAll lacks the features you're after, understood.
Other people find the other features useful, but not you, OK then.

We're limited by the WebExtensions API and were upfront about it. That means you can only save into the Downloads folder (or subfolders therein) and you cannot have checksums. If you don't like that, fine, I don't like it either, I hate the WebExtensions API, but it is what is is.

But all this doesn't mean you have to come here and express your disappointment in the in the meanest way you could muster.