Why is using 1 thread faster than using 20 threads?

In most connections this will not be the case, however, certain connections which have fixed speed will not get increased speeds with increase in threads. In such cases thread context switching becomes an overhead and slows down the overall speed of the download.

Why doesn't the drop zone pop up menu appear, if the download monitor window is hidden or minimized?

This was a bug in certain versions of JRE. Upgrading to the latest version JRE should fix it.