As previously commented, Same issue on SM 12.5 ent. Sometimes it works, sometimes - not.
Ok just played a little and found out the problem source, I think.
Actually, the problem is not connected to number of attachments. It may come out even with 1 attached file. The real problem is with .zip file generated by SM.
Let me explain the problem. For some messages Download all messages link works pretty well, for others - it gives out "corrupt" zip file. The following described for a message with corrupt Download all messages zip file.
When you click download all files, the zip file is downloaded and saved, as expected. After double-clicking the file, it is opened by windows explorer build-in zip unpacker, but no file is displayed, as if the zip file is empty.
However, the file may be several MB in size. Tried to open the archive with 7zip program and ooops, it did its job! But.... the .xls file in .zip archive is without extension! After renaming the file within 7zip shell, the zip archive starts working within windows build in zip unpacker.
I'm not sure the problem is connected with missing extension, may be the 7zip rebuilds the archive after renaming and it becomes usable within windows. Actually, I'm not aware how zip works.
Tested with SM 12.5. If someone interested, leave an email address and I'll send a message with un-openable Download all messages link.