And if it is a large folder, you can probably crash a server as well if you download many files at the same time (going through individual connections, …). I am not even sure if the zip then compresses the data or can just stream everything together as just one large file, so it doesn’t need so much resources. Google drive/Dropbox (https://help.dropbox.com/installs-integrations/sync-uploads/download-entire-folders) also zips you all the stuff.
With a browser plugin, this could be possible. Or some fancy javascript?