In the more recent macOS versions (we’ve checked this on macOS Monterey 12.1), local copies of preloaded mail attachments are saved in Attachments folder or folders within Mail folder in Library and not a dedicated Mail Downloads folder.
View our step-by-step explainer on how to find Attachments in your Mail folder in Library in the following section of this blog post: “How to find how to find Mail downloads on a Mac.”