They do need to download them. If you look at that lesson, how nice is it that you can see the entire .pdf without opening a new window or searching for it. You can even type into the .pdf and click on the expected disk icon to save it directly from the web page. It's very user friendly.
I teach other courses and find that a lot of people need a lot of hand holding. The easier I can make it the less work it is and the less support I need to provide.