No, they downloaded the portion Facebook is willing to allow them to download. This is absolutely not everything Facebook has.
Note the wording here, which is similar to the misleading wording Zuckerberg used to avoid honestly answering certain questions in recent days:
> “allows people to see and take out all the information they’ve put into Facebook.”
This doesn't include data such as:
- Data your "friends" have "put into Facebook" about you, which could include SMS/call records of your communications with those friends and various other details.
- Data Facebook purchases or collects from data brokers or public records
- Data Facebook collects on the broader web via "like" buttons, etc