Hi Rebecca,
Thanks for raising this idea for SDL TMS. In actual fact, it's already possible to download multiple TMs from SDL TMS using functionality available from the Inbox. Once you're in your Inbox, click on the download button and select the "Download TMs" option. This will list all the available TMs for download and you can select multiple entries before commencing the download. For more information, see page 4-17 in the SDL TMS User Guide which you can find here.
David