Edge now uses a modern-UI for handling downloads: an icon on the toolbar, just after the end of the Address Bar, which shows a vertical-list of downloads.
However, when a download starts from a pop-up window, such as from the Microsoft Update Catalog site, the old-UI is used instead, which feels a bit inconsistent!
That only the modern-UI will be used.
My preferred-solution would be to add a setting into Edge where the user can ask for pop-ups to load into a new tabs, instead of separate windows -- Internet Explorer 11 had such a setting. This would then mean pop-up content gets treated like any-other tab, and so would use the modern-UI.
Alternatively, when a download starts from a pop-up window, the parent-window should come to the foreground, and the download then begin in that window.
Before posting here, have you submitted feedback via the "Send Feedback" feature in Edge?
Browser and Operating System
Edge 90.0.818.62 (Official build) (64-bit)
Windows 10 Home (64-bit) Version 20H2 (Build 19042.985; May 2021 update-level)