When I download a model/assembly it opens up the file blank. If I open the individual files I have no trouble.
It really depends on how the user uploaded the assembly. if they made a pack-and-go .zip file that would be an easy single download but GrabCAD does not have a way to keep the needed files together. If they only uploaded SW parts and assemblies you can click the choose the download all option but often times you will also get all the images and other file formats as well.