This morning’s dum-da-dum-dum question: I have ‘downloaded’ Audacity, yet every time I use it, it seems to be reaching out and downloading the app. Works fine, but is this normal?
Perhaps you’re trying to run Audacity directly from the DMG without installing it.
Perhaps you have an unofficial version of Audacity that is downloading malware.
The correct place to get the official (safe) version of Audacity for Mac is here: https://www.audacityteam.org/download/mac/
Installation instructions are also on that page.