There's actually at least two major issues with the Crunchyroll downloader that make it pretty unusable. For awareness, I reported this as a ticket on July 23 and the response after a bit of back and forth with information was as follows:
This problem has been reported to our research and development department, we will fix it as soon as possible. Sorry for any inconvenience this situation has caused you.
Your patience and help will be greatly appreciated.
So they're aware of it. I was kind of hoping it was going to be fixed in the release from last week, but am unsure how much resources they devote to the Crunchyroll downloader. For your issue, the episodes are likely in the root of the Crunchyroll directory (F:/Crunchyroll, looking at the screenshot), however, they are named only for the episode name and do not include the show, season, or episode number. Another part of my report is that if you download the episodes more than one at a time, such as using the task queue to do so in order, you will find that the episodes will not be named correctly and you'll end up with multiple episodes of the same name just with a number appended to the filename. If you look at the logs, it'll show that it is using the previous episode's name for the current file it is naming, despite supposedly downloading the correct episode. The most consecutive duplicate named episodes I've seen is 7 (so they were 7 different episodes named like "Such and Such S1E01, Such and Such S1E01_1, Such and Such S1E01_2, etc.").
I've basically stopped using the Crunchyroll downloader from Streamfab until this gets resolved due to its unreliable nature for naming files. It would take more time to manually rename them than it does to just use a different product that works, even if it isn't as user friendly.