No, EmailMessage doesn't support the listview in Salesforce and the app supports only those object's List View which are supported in Salesforce. If you want to download the files/attachments for "EmailMessage", you need to follow the below steps: 

  1. Toggle off the Show List Views.
  2. Then search for the respective records that are related to the Event and click on the Select All button. If you would like to go query just need to add the WHERE Clause and you will get the result.
  3. Hit the search button and the below table will show all the files/attachments related to EmailMessage.
  4. Please follow the below screenshot.