I just re-opened my Phex & my download continued 'immediately' (within 3 seconds.) Wow never seen it start that fast before lol

No need to pause or stop a download before logging off.

I re-opened Phex yet again but this time after stopping the download, after re-opening the file was still in the download window & again, started downloading immediately.

(If you click the Remove button, then that will remove the download file permanently.)

Perhaps you are confusing techniques with another gnutella program.