If it was installed with your distributions package manager, then the package created by your distribution might have different default settings maybe. In example on my Archlinux based system that I use BTW, installing RetroArch from the package manager can’t use the Core Downloader by default. That is because the cores are installed and managed by the package manager in a directory that requires root rights.
So the solution to use the Core Downloader there is to change the RetroArch configuration to point the cores into a user directory with the cores. And don’t bother installing any core with your package manager, because now RetroArch itself is managing it with the Core Downloader.
Well, I tell you that, because you installed RetroArch through the package manager in Devuan, right? That could explain why its set to off by default. And even if you set it on, you shouldn’t be able to download and save the core, unless you change the directory where you are allowed to (in my case its ~/.config/retroarch/cores). So, make sure to test this and in case it does not work, change the directory.