Downloading the labs as PDFs makes them just documentation and not executable. My recommendation would be to download all the files associated with each lab, so that you can later execute them in a different environment if you want to. Once you have the notebook file in its native format, you can always also create a PDF of it locally using “print to PDF”.
Here’s a thread about how to download all the files for an assignment.
It is a good idea to download each assignment once you finish it, because once you complete each course you will lose access to the assignments. There’s a topic about that on the DLS FAQ Thread and the same information applies to MLS.