Do you have an iPhone or iPad? Then that is not the case. This is a limitation of iOS (Apple's operating system). It is therefore important that you do not exit the app during the download process. If you do, there is a chance that the device will close the app and the download will fail.
Do you have an Android? Then the download will continue to work even if you use another app or lock your phone and put it away (do not turn it off completely). When you return to the Downloaded countries overview, you will see that the download has been completed or that the percentage has increased.