Hi Brady, I have just stumbled on your post as I had a similar question. It appears that you cant bulk download all media recording submissions but you can individually download the files by opening up each one in speedgrader and while the recording is playing right-click on the player and choose Save audio (or video) as ... . This is an example of an audio recording:
Choose your save location and give the file a name.
Fiddly having to do that on each submission but at least it's a work around.