Why do they have to download large files? The games are still being distributed on physical media, same as always. Authentication is not a bandwidth issue whatsoever. Data caps, slow speeds and unreliable internet connections shouldn't be a problem at all, provided they're generally online the majority of the time.

This is probably not something you have to worry about. Firstly because, yes, they would almost certainly disable the authentication requirement if they drop complete support for the console. Steam has publicly committed to doing exactly that, should their service go under. Secondly because authentication servers take very few resources to run, and are not likely to be an expense worth worrying about for a company like Microsoft. This is especially true because computing resources get much, much cheaper over time, and players will decline over time.

Anyway. The scenario where your games suddenly become unplayable is very unlikely. Although not impossible.