Currently, if you introduce a downloadable product, you also need to use a dropdown menu on the product page to mark the product as non-shippable. (It isn't well-documented that you need to do this.)
The help text on that dropdown says "If this is 'Default', then we'll use the product type to determine if it is shippable." It seems to me that a downloadable product should obviously be non-shippable by default. Based on the help text, I had expected that to happen, and I think it should.