I agree with David in that multiple feedback files for offline activity can be very useful. For example, one could upload scanned assignments submitted by students in paper and then annotated by teachers with ink.
It is true that the option "Upload multiple feedback files in a zip" appears in the "Grading action" selection box even if the "File submission" box is not ticked in the Submission types setting.
I do not, however, see how the feedback files should be named. The help says that "Feedback files will be assigned to students based on the the participant id which should be the second part of each filename immediately after the users full name." But it seems impossible to identify "participant id" without "Downloading all submissions" in the first place.
I am on Moodle 2.6.2.