I don't know whether they do detect when you download or not, but this could be the case. When you download, a stream recorder creates a separate stream. Plus many users try to download multiple files at the same time. Obviously this is not a behavior of a regular user, so they can detect such things.

When you capture streams, they are captured from a player installed on your computer, so a content provider won't be able to see you saving your stream.

Note that the term capture can mean different things even on this web-site. Sometimes it means capturing from screen (screencasting), sometimes downloading streams, sometimes capturing from your local player.

WM Recorder Bundle vs Replay Capture Suite