Since the API doesn't offer a way to download the folder as a zip like this, you'll need to iterate through each desired file in the folder and download each one normally.
Yes, you'll need to download all of the files and then zip them as necessary.
Note that shouldn't try to download all files simultaneously though, as that could trigger rate limiting or exhaust your network connection, depending on how many files there are. You should decide on some maximum number of files to download simultaneously.
