Thanks for the explanation. :)
Currently, I'm only planning on using PayPal (IPN), and possibly 2Checkout, so that problem shouldn't occur. Mu understanding is that the purchaser has to complete the stuff on the PayPal/2Checkout side, and then click the link to return to the osCommerce script before the order is complete, at which time the download link becomes available.
But the Downloads Controller addon sounds useful for other reasons. :)