The Sharepoint connector, assuming you have it set to Download as File should simply create a copy of the file from sharepoint in the local folder location you specify. It just does the download action, it doesn't matter what the file type is.

First question is has the file downloaded? My experience with Sharepoint is that 90% of time is spent authenticating getting access, and finding the correct location of the item/file to read/download. You say it ran without an error, so I assume it has? If it has, then the output port of the Sharepoint connector has a _download_path attribute added, which you can use if you want to take action depending on the file which has downloaded. FilenamePartExtractor -> Tester -> FeatureReader

When I run the SharePointOnlineConnector, I do get a "_download_path" in the output but when I go to check the folder on my local drive, no files/folders are being saved to it. I though I only needed the sharepoint connector to download files? I'm not looking to do any data manipulation on those files.

@nkachanyuk, if you are able to see sharepoint site, documents library and path, you'll get to see destination. Under destination, are you able to see three options(Attribute,File, Folder)?Here you've to choose file option and provide the path to download to . Also, choose an option to either reject or overwrite if file exist.