Is it possible to download magazines as single PDF in IEEE Xplore with an institutional subscription?
No, this is not possible, at least not with IEEE Xplore.

In fact, they explicitly disallow this. See http://ieeexplore.ieee.org/xpl/termsOfUse.jsp (Point 4 of the "Do Not"s for Institutional Subscribers). So it is not surprising that there is no technical support for doing that.

As an individual former subscriber of "IEEE Security &amp; Privacy", they may have granted you that right. Interestingly, under the "Do Not"s for IEEE Member access to IEEE Xplore, the point about downloading whole issues is missing. So that may be part of the reason.