It is normal to only get one fie at a time if they are multi-part - each connection should be getting a different part of the same file. For single-part files each one connection should get a different file in parallel. What makes you think the that all connections are not being used
There can be other reasons or slow downloads than not all connections being used. In fact specifying too many connections can be one of them
One place there is a limitation on using connections is getting headers. When getting headers only a single connection is used for a group (although multiple groups can have their headers fetched in parallel on different connections).