I appreciate your comments and understand that it would be good to have the download zip available at my site as well, however, I think this could lead to a small problem.
Many of the themes are updated regularly as more and more people use them and small glitches are sorted out. If I housed the downloads on my site they may not be updated as frequently. By providing a link to the home of the theme I think it alleviates this issue and people will always be able to download the most recent update.
May I also point out that these are not my themes - I simply link to others.
I hope that clarifies the reason for how it all works.