Starting from version v12.0 if the object is selected as File or Attachment (as shown in the below images) then the Excluded Object Naming conversion will not apply to the downloaded files and folders' names.
Rest all objects will work as it is, as per the naming conversion functionality in the "Excluded Object" as explained in detail in the FAQ -
- How to rename the folder's name to a different name?
- How can I rename file names based on the value in the suffix field using the Mass File Download app?
PS: View Mass File Download, Salesforce file download app on Salesforce AppExchange: https://appexchange.salesforce.com/appxListingDetail?listingId=a0N3A00000EcsAOUAZ