No, of course not! This is a courtesy that we provide our team athlean members for those that prefer to follow the workouts from printed sheets rather than online with videos or the portal. Since you do not receive any physical products in the mail with your purchase, we make the downloads available in the download center (located in your drop down menu as shown here).
If you are comfortable with only using Athlean Online solely, then there is no need to download the files. However, if you do want them you may do so at any time you see fit...as they do not expire until you have used up both of your active downloads (your primary download and backup download).