If guest checkout is enabled and creating an account for guests is disabled, customer who purchase a download product will still see the download product link once they have successfully purchased the product. This is an error because you need to be a logged in customer to view your purchases, but if the customer is a guest with no account then they cannot login.
This has been fixed for version 4.0 where 2 different thank you messages will be displayed, depending if your a guest with no account or a real customer. To overcome this problem prior to v4.0 (this will affect all customers, not just guests), you will need to edit the DigitalOrderConfirmation language variable in the language/en/front_language.ini and re-word it to not talk about the download link below, then you will need to open up the order.html template file and remove the '<a href="%%GLOBAL_ShopPath%%/orderstatus.php">%%LNG_DownloadTheItemsYouOrdered%%</a>' link. Again, this will remove the link for all customers, not just guests.