There is no Download option from the Actions drop-down in the Expense tab, as you have it in the Purchases or Sales Inbox folders.
However, users with any of the Expense folder permission can download expenses in different ways.
📎NOTE: If you created the expense manually, you can't download the expense. You can however export the expense report details.
Expenses tab
You can download the original invoice from the Expenses tab.
Go to the Expenses Reports folder.
Go to the Expenses tab.
Click View.
Click Invoice History.
Click Download Source.
Activity tab
You can download the original invoice from the Activity tab.
Go to the Expenses Reports folder.
Go to the Activity tab.
Click the image link under the File column.
From the file preview, click PDF.