I have free downloadable products on my Magento 2 shop (Magento 2.3.4, Migrated from Magneto 1). If a customer purchases this free downloadable product, he gets a zero subtotal order which I set to status processing via Magento Payment settings automatically. The order is also invoiced automatically, but the order always has status "closed" automatically with a correctly cerated invoice and so the download is not working. There is no credit memo created! This should be the only way to get to the status closed according to the Magento Status scheme.
This behavior was not observed in Magento 1, there it was always ending with status "complete" and the download was enabled automatically.
EDIT: I just found out this behavior is a known bug: https://github.com/magento/magento2/issues/25177