Leave a YouTube video playing and close the lid. See what happens.

If you have set lid to do nothing, and you’ve set power to not auto suspend after a time period then your system should be running as usual

I haven’t ever owned a Windows laptop, but I would expect that it should work fine.

Note that Linux can be set to act differently when the lid is closed on AC power and on battery. I assume that Windows can do the same. If you’re always going to be downloading on AC power, you might want to only have the lid do nothing when on AC power, and have the lid sleep or hibernate or whatever on battery.