A few months ago Plex discovered that Relay was incorrectly allowing downloads through it so that was stopped.
You will need to follow FordGuy61’s link for Remote Access Troubleshooting, or post logs. It helps to show the output of your checks versus just saying I did it.
Plex Web allows the server owner to download media files stored on the server. It is separate from Downloads for Offline Use, which is supported for the mobile apps and Plex Desktop.
The error message you mention indicates your mobile devices are connecting via Plex Relay, not via Remote Access. Plex Relay connections are tunneled through servers at plex.tv. They are limited to 2 Mbps (1 Mbps w/o a Plex Pass) and do not support Downloads for Offline Use.
You can monitor streaming via Plex Dashboard → Now Watching + Expanded View. If the connection is Indirect, then it is using Plex Relay.