They do not download missing files. If you have only the base game (20GB), a DLC unlocker won’t magically add the 10GB LEGO Valley map. You still need the DLC files on your hard drive. Many unlockers assume you’ve installed the "DLC placeholder" files (often from a repack or shared cache).
Given that Forza Horizon 4 has been officially delisted from digital storefronts since December 15, 2024, many players might feel that DLC unlockers are their only remaining option to get the full experience. However, that's not the case. Before the delisting, Playground Games and Microsoft made official, legal avenues available that should not be overlooked: