Download is to internal memory - that's hard wired.
Since KitKat, an app (and a file manager is an app, moving an app to the SD card uses an app) can't write to a directory it didn't create - on the SD card as well as on internal storage, which was different up to Jellybean, unless the phone is rooted and the app is running as root (gets root permission from you when you're asked).
So even if you had, say, a DCIM folder on the card that your camera app created earlier, now you have to delete that folder (back up what's in it first) and have the app create the folder gain. This time it will mark it as being owned by that app, and the app cn put files there. Your file manager app won't bve able to, though - the camera app ownss the folder. Only root can write to other apps' folders. The only way around that (and the phone has to be rooted to do it) is to give the user 'everyone' read and write rights (and execute rights if you're going to move apps) to the external card.
NextApp SDFix: KitKat Writable MicroSD (root) will give read and write rights for media apps. The rest you have to do manually with a text editor.