I have downloaded albums. With offline mode enabled, I can see them via Library > Downloads or Home > download icon top right.
However, when going to Library > Albums, there is nothing. The download filter icon is inactive and has no function, i.e. cannot be toggled.
It would seem to make more sense if the filter icon was active by default and the downloaded albums were shown. After all, this is what it already does when online and toggling the (now functional) download filter.