lah23 Android tries pretty hard to preserve battery life by limiting background activity by apps. If turning off the screen suspends Vanadium, that sounds like it might be normal. If Vanadium suspends downloads when it isn't foreground, that might be intended behavior inherited by Vanadium from Chrome.
Meanwhile, if the device actually sleeps, downloads will definitely stop.
It might be productive to look online for reports of Chrome on Android suspending downloads and see if workarounds (perhaps using a dedicated download app) are described.