It is by design that all downloaded emails are labeled separately to be extracted under one folder named All. It is to avoid duplicate message downloads when the email message is marked with multiple labels.
To avoid this, please split the download process as below. This will also result in faster downloads as the large volume is split into batches.
- Folder (1) -> Download (1)
- Folder (2) -> Download (2)
- Folder (3) -> Download (3)