You will need to export and render the video you are creating to download it.
Step 1: Click on Download and select the Download video option.
Step 2: Click on Continue to render the video.
Step 3: The rendering status will be shown on the top left. Wait for your video to render.
Step 4: Once the video has finished rendering you will get an option to download it. Click on Download to download the video to your device.
Note: On the Free plan you can export with watermarks in 1080p resolution and on the Paid plan, the options are already selected by default to be 1080p export and no watermarks or branding.