We only create download links when the payment has been completed, so if it remains pending on your side then that would be why the link hasn't been delivered yet. If you accept the payment we'll email the buyer with their link.
You will also be able to find the buyer's link in your transaction log after accepting the payment, clicking the transaction ID or product name will show the link and allow you to pass it on manually in case the buyer doesn't get their email for some reason.
It is possible to set our cart to deliver links while the payments are still pending but that would actually cause the problem you're trying to avoid -- if the pending payment fails after we've sent the download link there's no guarantee you'll be able to shut that link down before it is used.
