BTW, this happens in WK1 too.

I guess the reason is in the following method in WK2 (there's an equivalent method in WK1):

static void                                                                                              
download_finished_cb (WebKitDownload *wk_download,                                                       
                      EphyDownload *download)                                                            
{                                                                                                        
  EphyDownloadPrivate *priv;                                                                             
                                                                                                         
  priv = download->priv;                                                                                 
                                                                                                         
  g_signal_emit_by_name (download, "completed");                                                         
                                                                                                         
  if (g_settings_get_boolean (EPHY_SETTINGS_MAIN, EPHY_PREFS_AUTO_DOWNLOADS) &&                          
      priv->action == EPHY_DOWNLOAD_ACTION_NONE)                                                         
    ephy_download_do_download_action (download, EPHY_DOWNLOAD_ACTION_AUTO);                              
  else                                                                                                   
    ephy_download_do_download_action (download, priv->action);                                           
                                                                                                         
  ephy_embed_shell_remove_download (ephy_embed_shell_get_default (), download);                          
}                                                                                                        


By default priv->action is EPHY_DOWNLOAD_ACTION_NONE as set in ephy_download_init(), this means that all downloads use EPHY_DOWNLOAD_ACTION_AUTO if ephy_download_set_action() is not used.

Great, that makes sense, I fixed this in master with commit 71bb5c11d290d5762d14a705aee825b6411e669c

Closing!