I've done this before (version 5.7 or 5.8) and it does work as I remember setting up content checks for .pdf and other files being downloaded. If you setup your script to run through a proxy capture like Fiddler you should be able to see the file being downloaded.
I don't remember if I ever set it to save the file or if that is possible. It doesn't by default... I don't have the scripts and can't find any info in the help or even recreate a content check on a .pdf!?
I'm going to try to figure it out, but it will be a few days or so, probably faster if you ask MicroFocus...
As drazle said, file downloading works with content check enabling. Saving file is not possible as of now in QALoad.
But usually, saving operation will be client operation which you can readily ignore during performing load testing.