FTP seems to be working fine based on the logs you shared. To download files in FileZilla, just open the directory on your computer you want to download them to on the left panel, and drag and drop from the right one. Use the online file manager to download files is not recommended, as it does not work for large or many files.
You can follow the guide below about the error message on your website.
The email is actually supposed to come from your website, but since the PHP main() function is not supported here, and you have not setup SMTP on your site, you did not receive it, it’s not that big of a deal though.