This evening, I've had it happen twice on the 8 Pro. Plenty of room on it. The second time, I checked the files' presence in Total Commander; they were in Download, where Focus put them and as expected. Then I closed Focus. Returned to Total Commander, to Find the files no longer listed.
I never experienced this until a couple of days ago on the 6 Pro, as mentioned.
I use Focus sometimes to visit JavaScript-dependent sites that I want to keep relatively isolated. This change in behavior, intended or not, is a real hassle. And Google turns up nothing on it.