So I was wondering about this as well. Fortunately 2GB files are hard to hide.
The file gets downloaded of all places in %LOCALAPPDATA%\Temp inside an (I presume) randomly named zip file.
For example the ubuntu 20.04 install cd was downloaded in my machine to:
%LOCALAPPDATA%\Temp\f551376f78ba84179c2baeeca8722e52a32bdf47cd5bc18cd54aedbe8c9c2147.zip
The content of the ZIP is a single file:
livecd.ubuntu-desktop-hyperv.vhdx
The file can be safely deleted to reclaim the disk space I did not try to use it to create custom VMs.