When your client downloads a set of images from a gallery, they'll receive a link to their download page once it's ready. The images are in zip files for an easier and more manageable download experience.
Sprout Studio automatically splits up the set of images, based on the number of images in the download. The benefits to splitting the download into several zip files versus keeping it as one larger zip file are:
Your client can download the files faster (and more reliably) on a slower internet connection.
Your client can have a more stable download if they're using a mobile device.
Your client is less likely to have their internet (and therefore the download) throttled and dropped.
If your client's internet connection is intermittent (and consequently dropped or interrupted), they only have to re-download the zip files they missed versus having to re-download the entire thing again.