First of all, the host/teacher should enable the download option from Settings as shown in the below image. Students can only download with the permission of the teacher or moderator.
Either students can check the boxes to combine boards in one pdf file or they can individually download the annotated files.
When the teacher/host has enabled the download option, then students can find a download option located at the bottom of the whiteboard tools, and from there, students can download the file as shown in the below image.