Well, I've got it working.

I changed the File Download Settings (admin/store/settings/products/edit/features) so that the Order Status is now Completed. I also changed the Workflow-ng configuration "Update order status on full payment" now updates to Completed when the balance is less than or equal to $0.

Previously both were set to Payment Received, which (it seems to me) should have worked. But this will work for now. I'd be interested in hearing from anyone with any similar experiences using the file download feature. Let me know if there is some detail of my settings that I haven't listed here that would help with the troubleshooting.

Happy day,
Anne