Common request.
Only two ways that I know (both workarounds) are:
1. Add all these documents temporarily to a project, then use the projectlink function to download all doc's in the project to a zip file
2. Create another document in PDMLink and use Document Structure. Add all these documents to the structure, then use the structure function to download all child documents. Delete the parent document once done.
Note: Have to get the resuting list via search rather an report to grab all.