It seems that out of the box - on a new user or completely fresh install - downloads don't open automatically and appear to disappear somewhere completely. After investigation, it seems that in preferences it shows "Downloads" or some such as the download location, and upon changing that, it seems to claim it's under ~/Desktop/Downloads - but in reality it saves them in ~/.gnome2/epiphany/Downloads and is not capable of then opening them after download has completed (perhaps it tries to open from ~/Desktop/Downloads/<filename> or ~/Downloads/<filename> or ~/<localized downloads folder name>/<filename> or whatever). After touching the preferences by simply just configuring the place, not changing it, and entering the same, it starts downloading into the visibly configured place of ~/Desktop/Downloads and automatic open starts to work. Maybe it assumes a fresh user will have ~/Desktop/Downloads or whatever pre-created? Either way, lots of surprising trouble as-is on Gentoo. This happened with current stable version epiphany-2.30.6, while -r1 seems to have completely unrelated patches. Oh, also the Downloads folder I made doesn't have that shiny downloads folder. Could it simply be that we need to depend on x11-misc/xdg-user-dirs-gtk or whatever in epiphany?
Will track this upstream as I don't think we can do much for it until upstream helps us :-(