Well it depends on what app you are downloading through. Did you change that apps settings to save files to the specific location? If not, then they won't be there. Also, if you are trying to download say apps to that location, that won't work without having converted the SD card to be "Internal" storage.
Try connecting the tablet to a computer via USB cord and see if you can locate the files.
There isn't an option to change the default storage to SD card. In the download manager settings the option to move to SD is greyed out. I have also connected my tab to my PC and I still cannot find the files. Please advise