Thanks for your feedback,
The primary reason to not provide the explicit option for transcript download is as follows

Transcript is sent automatically to the end user once the messaging conversation is updated ( Ticket Status is updated) or ticket is closed. On Messaging ticket creation is not optional and ticket will be created by default. On Messaging customers with or without Zendesk AI agent admins can configure email ID collection as a mandatory step.
Transcript setting is also available with the Admins and same can be used to control whether transcript is sent on ticket update or when ticket is closed.
There is additional option of print ticket which takes the print of overall conversation, useful in scenario where rules and workflow mandates a physical copy of the conversation.