It’s actually not when you download it but when you decompress the image to use it, ie., to send it to the graphics card, read/write pixels from it, etc…
You can keep it in its raw JPG / PNG format (compressed array of bytes that you had downloaded) without decompressing it, but there’s not much you can do with it from the Unity standpoint until you decompress it.
A Sprite is the same thing as a Texture, essentially, plus it has extra information to tell Unity where on the entire Texture surface the Sprite comes from, which is how you get multiple sprites on a single texture, for instance, how big it is, details of its shape, etc.
So yes, by making a sprite out of it you are “using” it because the Sprite retains a reference to the Texture so that it can render if need be.