Welcome to the Serif Affinity forums, @WEAC.
Only certain content can be downloaded and installed from within the application, primarily Brushes, Assets, Styles, and templates delivered in .aftemplate format. For that content, the applications have pre-defined locations to install the content. For other kinds of content (JPG or TIFF images, .afdesign files, ...) you must download them yourself, manually, from the Store using your browser. That way you can decide where to put them upon download.
I am, however, surprised to see that nothing from Glitch Effects downloads automatically within the applications. Some portions (Brushes, Assets) could be downloaded. Perhaps this is a conscious decision by Serif for some reason, or perhaps it's a configuration error. We'll need to wait for a comment from Serif on that, I think. But in the meantime you can do the manual download via your browser.
The applications do not share resources, so if you have brushes, assets, styles, etc. that you want to use in an application you need to have them installed there.
