Why WP does not show any downloading task in action centre?

Because it's was never implemented (orly?). There's an entry about it on User Voice though, so you can vote. I don't know if it'll come on W10.
 
Will they consider it?

If there's a lot of votes, yes. Many of the most requested features on User Voice were added with WP 8.1: data toggle on action center, transparent tiles, new settings menu and some others i don't remember. It might take some time though - it took months to the aforementioned data toogle be added.
 

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