Here is a very easy solution to this problem in Windows 10.
Click on START->SETTINGS->PRIVACY. Scroll all the way to the bottom on the Left-Hand side.
Click on VIDEO -- You'll most likely see the JW Library, I circled in yellow, and other apps under "Choose which apps can access your videos library" set to Off and grayed out.
If it's grayed out you'll have to click on Change. I have it Circled in Red. Notice the Sentence above Change it says, "Videos library access for this device is off."
When you Click on Change, a small little box will Pop up that shows Off. Click it to turn On. This will change the sentence to say it's on. Not a big deal, but thought I'd mention it so you can see it.
Next Under "Allow apps to access your videos library" Click on the Off button, which I also have circled in Red, which should now be highlighted, click this to turn On.
Now JW Library will show On. Exit out of this and JW Library "No Download Location" will be fixed. It's that simple. If you Click on JW Library and turn it Off again, you can duplicate this error.
By following these steps you don't have to create a JW Library folder as mentioned in other solutions. JW Library now creates that folder as intended.
Also you might not have to click change if it shows next to "Change" the "device is On." You'll just have to Click the Off button to On under "Allow apps to access your videos library.
