I had an interesting experience Saturday morning attempting to download September interest and dividends for about six Fidelity accounts (Q2007 H&B). Q went through the motions, but nothing was received from Fidelity. It acted exactly as if there were no transactions to download.
I spoke with a software specialist at Fidelity. He had me deactivate, then reactivate, one step update for each account, and that took care of the problem. He claims its a problem with Quicken, and the reset jars things loose, so to speak.
If you're not getting downloads when you know info is available, you might give this a try.