Here are the admin comments for two back to back orders for the same product. First one is by an anonymous user (who becomes registered automatically as #17 after this order), second is another order placed by that new account.

Date	User	Comment
03/21/2008
3:08:46 PM	-	Credit card charged: $1
03/21/2008
3:08:47 PM	-	Order created through website.



Date	User	Comment
03/21/2008
3:15:29 PM	17	Credit card charged: $1
03/21/2008
3:15:29 PM	17	User can now download the file Survey2005.pdf
03/21/2008
3:15:30 PM	-	Order created through website.

At first I figured it must be a workflow config, but both are getting set to Completed, so workflow's doing its job... it's just not then getting the file attached to the order.