Double slash in path of downloaded module
It's an artifact of how Drush builds the path. It looks at your Drupal project dir, and where it's placing the the project download, then appends it together without concern for a trailing slash in the Drupal project dir. It has nothing to do with your Drupal project file settings

Is it bug? Perhaps if you consider it a UX problem. As far as POSIX is concerned, the double slash is treated as one so it shouldn't matter in terms of referencing the directory. Whatever the case, drush pm-download is deprecated in later versions.