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You would need to change CSS for this, which would require some learning from you. If you want to do it, then in your Chrome browser you can right-click on the Menu and select "Inspect Element", so you see the CSS for that item. Then do the same for the "Downloads", and then figure out the difference, and then make those necessary changes in the CSS.
Or you can create another menu with MyMenus, where you add manually links to the download items. Then you'll have the same lines as on the "Menu", because it is also built with MyMenu module.