No, EmailMessage doesn't support the listview in Salesforce, and the app supports only those objects whose list views are supported in Salesforce. If you want to download the files/attachments for "EmailMessage," you need to follow the below steps: 

  1. In Select Object - Select 'EmailMessage ' object, then click on the 'Advanced Search(SOQL)'.
  1. Then search for the respective records that are related to the event and click on the Select button. If you would like to run a query, you just need to add the WHERE clause and you will get the result.
  1. Hit the search button and the below table will show all the files and attachments related to EmailMessage.
  1. Please follow the below screenshot.


PS: View Mass File Download, Salesforce file download app on Salesforce AppExchange: https://appexchange.salesforce.com/appxListingDetail?listingId=a0N3A00000EcsAOUAZ