Hi,
I'm not sure if i understand your question but, you need to download all files related to those incidents (incident data + attachments), is that correct?
If so, you can try to make a Web Archive.
Build a report with those incidents and save it.
Then, go to System -> Incident Data -> Web Archive
Give it a name, select your report and click Create. You'll have all incident data (and attachments) in DLP Folder "Archive".
BR