Hmm, I'm going to need some more information here. You can verify whether the user was given the download by looking on the admin's order comments on the order page. It will say "User can now download..." in the comments if the file download was granted. If it didn't there's a few things that would determine whether the download wasn't granted:

There was no uid associated with account (to clarify anonymous downloads are just transfers without being logged in. A user account still must be associated with it).

There are no files associated with the product nid (determined by query on the uc_file_products, uc_product_features, & uc_files tables).

The SKU of the product ordered doesn't match the one associated with the download feature.

The order hasn't been placed into the status specified in Product Feature settings.

That's all I can think of right now. Let me know if that helps.