Downloading the file will be necessary as it's store in azure. You can download and stage the files in a connected sharepoint document library, but that obviously breaks the link between the file and dataverse record.
If you want to maintain the link between the Dataverse record and the Document attachments, you may want to switch over to using the native Dataverse SharePoint Integration. When a record is created in dataverse, a sharepoint library can be automatically provisioned to hold documents. This I find more useful than the Dataverse File column (and it doesn't consume dataverse capacity).
