I don't know of any mass download option. You can download from your Manage your Kindle page, but this is again one ebook at a time and takes more clicks. The best approach I have found is to select list view in Library -> Archived Items, then right click on an ebook and select download. The ebook disappears from "Archived Items" and ends up in Downloaded Items.
Practically every other Windows app with a list view would allow a shift click to select multiple items, but not K4PC.
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