I signed up for the annual membership myself (Thanks Leo!) and I am glad there is the download feature which has each file name matching the name of the episode. I then store the files and load them into Plex. With my subscription with Plex I can then sync files to my iPhone all the while Plex knows where I am at in the videos I have been watching. To make it easier Plex has a playlist feature.
A few suggestions.
Download all notes with one link per course.
Naming of the files.
Most files are:
1
2
3
...
10
11
...
20
21
So then Plex sees:
1
10
11
2
20
21
3
To fix this it would need to be:
01
02
03
...
10
11
...
20
21