Hi Mohd
Yes, that new addition to the Disk Cleanup process is ticked by default and will delete everything inside your Downloads folder.
This is a new feature in version 1809 of Windows 10 and a lot of users have lost a lot of files due to this . . .
The Downloads folder is not suitable for long term storage, it is meant as a temporary location and when a file has been downloaded, it is meant to be moved to another folder for more permanent storage
Microsoft have never enforced this, but seem to be doing that now and some recent updates have automatically cleared out the downloads folder
You should also check to see if Storage Sense is turned on, it will also delete the contents of your Downloads folder - Go to Settings - Storage - 'Change how we clear up space . .. '