hehe, I never noticed that hiccup with PM content. Just tested it and you are correct.
However, there is actually a way around it.
In your PMs, if you click on the Purchases tab at the top, it will bring up a new page with all the content that you have bought.
You should now have download buttons for all media, beside each post.
With that said, I also run Sim0n00ps script, so I'm well covered.
The extension is still probably the best option though, for any non-techy newbies or for those who just want to grab 1 or 2 specific items.