It should never mess up with post category, as just the labels are same, but the url slug and taxonomy slug is totally different and also url structure fot post category and wpdm category are totally different except you use same slug in settings option, in that case, use a different url slug for wpdm category in Admin Menu Downloads Settings page .
Yes, in menu manager it may looks like little confusing because of same label, but on expand user will understand seeing category names.
