Agreed. It is really not intuitive at all. Somebody will lose their job over this.
If you want to see your data without going onto the web then Garmin Training Centre may work for you depending on which device you have. You can still download it but it is unsupported. It also allows you to create some workouts with parameters not available in connect. I keep all my training history on connect, Training Centre and Strava just so there's minimal risk of losing it all