Thanks so much for the help, Louise! I am still not sure of what to do... I would hope that Etsy can see this is a potential problem and might make it optional to have to include a download in a digital listing.
In the meantime, I have only listed small items in my shop that I can deliver via Etsy... at least until I can figure out how to handle listing my larger items in a way that is not confusing for the buyer. I don't want them to think the email from Etsy is 'THE' email where they expect to receive their downloads.