Question Modem feature: can download managers download only files/torrents or software downloads too like steam?

Download managers generally download files. On computers, usually there is a browser' plugin which redirects download requests to the download manager.

Since you are asking about "Modem features:" I suppose you upload the URL of the file you want downloaded to the modem (actually, I supposer you're talking about gateways / routers), and the router downloads said file to locally attached storage.

For Steam and other platforms: WHile they do download and store files on your computer, the protocol between the Steam client and server is proprietary, and I doubt you can use DMs for these.