In the version of download-monitor I downloaded today (1.0.5), I found a bug where the categories info in the download_data shortcode would not display. Internally, WordPress was throwing an invalid taxonomy error.
/includes/class-dlm-shortcodes.php , line 182.
To fix, change line 182 from:
return get_the_term_list( $id, 'dlm_download_categories', '', ', ', '' );
return get_the_term_list( $id, 'dlm_download_category', '', ', ', '' );