Yes, they haven’t (yet anyway) made downloading as convenient on the DLAI Learning Platform as it is on Coursera. There is also a way to package up all the files and download en masse, but you have to be comfortable with linux shell commands. Please see this thread for instructions.
In terms of running things locally, you are on your own. There are too many possible variations for it to be reasonable for there to be official instructions. There are some threads on the forum that will get you started down that long and winding road, but the point is that if you’re going to play that kind of game you need to build up your own problem solving skills. Stack Exchange is your friend. 
Or here’s another such thread.