Basically it's a problem when you're downloading a file from server A, and server A will only send it you at 100kb/s because of their specific upload limits (even though you have a 10mb line that's just your download rate, not the servers upload rate). Servers do this to prevent fast lines from consuming their upload capacity affecting all their users. So what a download manager will do is split your file into several parts and each part will establish a 'separate connection', which the server will allocate 100kb/s to individually.
However nowadays most servers see the requests are coming from the same source so limit all your connections anyway. Some download managers overcome this by examining your download, and then searching through public ftp sites for a file with the same name and checksum, and then start downloading part of your download from server B too. So now you're downloading 100kb/s from server A and 100kb/s from server B - giving you a combined rate of 200kb/s for example.
It's not really a problem as much as it was several years ago, as most popular hosting providers have upload speeds that dwarf our current average download rates in South Africa anyway.