I am getting redirected to something like: /storage/localfile/bd/01/e58c84186e7ef623/attachments, and download not working.
Did a quick test loading a PDF through the ZIP dataloader plugin. The PDF was stored as .pdf file in /storage/localfile/ and downloading works just fine.
You are probably mapping the file name (using --map-file-name or the equivalent UI setting). It looks like an issue with that file name mapping. Specifically I would guess that the data loader plugin is outputting the file name as “attachments” instead of e.g. “attachments.pdf”.
From then on the MIME type is incorrectly mapped as plain text, which may cause a download issue depending on browser settings.