With Deepin terminal by now, you have the ability to connect to an external server with ease. Additionally to that, when you install lrzsz on your remote machine you are able to upload files to the server by using right-click upload file. In theory that's possible for downloads too. And in practice, it is already possible with some manual configuration.

But:

To be able to download files through file Manager dialog there are a few dependencies that are not fulfilled in deepin by default right now.

First you need to use sshfs to mount the remote file system
Second you need to make sure that you do not need to mount it manually every time you shut down your computer by using fstab.

These two functions should be provided by deepin terminal/file-Manager out of the box to make sure the function works as easy as possible right out of the box.