The aria2 download manager “is a must” for you only if you want to use advanced features like pausing and resuming downloads, or choosing a different download location 
Without the aria2 download manager installed, the Steinberg Download Assistant can only assist with finding and displaying the available downloads, but the download itself will be performed by the “system default”, which is usually your default web browser – and thus the downloaded files will end up wherever the default web browser’s download location is configured.