Yes, you can download all the files in the respective single record's folder structure.
To do this, you need to sort your 'Record Name' alphabetically before downloading. This ensures that all files belonging to a specific record are downloaded into a single folder. Additionally, if you set the 'Show Entries' option to 2000, there is a higher chance of downloading all files in a single folder, as a single record might contain up to 2000 files.
Please refer to the image below for the reference: Mass File Download Tab
If you have purchased an additional paid feature, such as the 'MFD Lightning Tab' or the 'MFD Record Details LWC Component', you will be able to download up to 5,000 files at once. This greatly improves the possibility of downloading all files in a single folder, as a single record might contain up to 5000 files.
Please refer to the image below for the reference: MFD Record Details LWC Component
Please refer to the image below for the reference: MFD Lightning Tab