To remove a directory, you need to use a command that can delete directories, not just files. The rm command can only remove files by default, unless you use the -r option, which stands for recursive. This option tells rm to delete the directory and all of its contents, including subdirectories and files. The rmdir command can also remove directories, but only if they are empty. If the directory contains any files or subdirectories, rmdir will fail and display an error message. Therefore, the correct commands to remove Downloads, assuming it is empty, are rmdir Downloads and rm -r Downloads. The other commands are either invalid or do not work on directories.Reference:

Linux Essentials - Linux Professional Institute (LPI), section 2.3.1

LPI Linux Essentials Study Guide: Exam 010 v1.6, 3rd Edition, chapter 4, page 93.