This could be because the order is not complete yet.
If the order status shows as Reservation or In Basket then the original transaction has not been completed and the Download Tickets option will not show. To complete the original transaction, you just need to click the Edit Transaction button at the top of the page.
If the order is complete then it could that that no Delivery Method was added to the order. If this is the case then you can select Email Order on the Order page and you can select a Delivery Method when sending the customer their tickets.