Are you accessing the My Cloud from the local network or from a remote network?
If accessing the My Cloud from a local network do not bother using the My Cloud Desktop or the WD My Cloud for iOS or Android app. Instead use Windows File Explorer, Macintosh Finder, or a mobile app file manager (like ES File Explorer).
If accessing remotely and using the WD My Cloud Desktop or WD My Cloud for iOS and Android then no, it will zip the directory contents if downloading the directory rather than individual files. The workaround is to select all the files from the directory and down them to a folder created on the computer or mobile device.
Or if connecting remotely, one could install the CloudDAVMod to their My Cloud, if using a v4.x My Cloud, and remote map the My Cloud to their computer or mobile device. Then use Windows File Explorer or Mac Finder or a mobile file manager to copy the entire directory to local storage.
https://community.wd.com/t/app-clouddavmod-v1-0-for-firmware-v4-05-2016/161543
