Chacal
Downloading is supposed to be automatic, it is done by the Steam client after you "subscribe" to a scenario in the workshop
Not in my experience - you have to open TS 2015 then choose Profiles and workshop BEFORE the scenario appears in TS2015.
Others
The download bar at the bottom usually ONLY shows "NEW" scenarios loading not all (there is also sometimes and "Installing WS Items" window that appears and disappears automatically).
If you have more than one WS scenario when in the profiles section TS2015 will "highlight" them one at a time - downward - and it will do that Twice, and at the end of that, the pale blue "SUBSCRIBED" button becomes a deeper blue and you then know all WS scenarios are loaded into TS2015.
That's my experience anyway!
pH