Not sure if this can be solved without custom code. Simply combining "DOWNLOAD DOCUMENT" with "applicable to multiple items" doesn't work for me. It only downloads one of the marked items.
I unfortunately don't have much time to make a proof of concept, but you could try this:
Try creating a process which copies the marked files to a certain folder on the server, like "C:\test\", I think you already used the correct command in your example (EXPORT DOCUMENT)
The next step would be to put the images in a zip file and then delete the images from C:\test. It would probably require the EXECUTE PROGRAM function combined with a CLI command for zipping (like 7zip).
Then you can use IMPORT DOCUMENT to a non-persistant BO and place your zip file there, delete the zip file from the server folder, and then call DOWNLOAD DOCUMENT to download it.