Not to Excel.  Each worksheet will need to be downloaded individually.  Unless you can get them into the same worksheet, but that can be difficult to do.

It's not the first table that gets downloaded by default.It's the "highlighted worksheet" that gets downloaded. I don't think there is a way around to achieve your requirement,correct me if I am wrong.

No, the interactions in desktop are essentially the same as in server.

Tableau treats each Tableau worksheet like an Excel worksheet, so unless they are in the same worksheet you have to download them separately.

Yes, you're absolutely correct.

This could be done using either tabcmd or the API to write a tool that serially downloads the .csvs and merges them into a .xlsx file. You would then just need a webpage with a button to execute the script, Add that to the dashboard as a web object or modify the method here to add the button to the dashboard.

it looks like there are some php libraries for excel and I found this page that has a power shell script for merging .csvs into a single excel file (I personally have not tested this yet).

This method requires some development time, but it should give you what you want, and the end user would be none the wiser.

Hope this helps!