It's normal, and can be replicated on every OS out there.
Here's how this works. The OS (in this case Windows) attempts to do a rename. This fails (because your cannot rename from \\media\,,, to \\downloads\... the same way that you cannot rename from C:\... to D:\...), so it has to do a copy / delete operation.
MC operates below the system, and because of that it does succeed in the renaming, so it's instantaneous.
To work around this what you need to do is set up a "root share" (space invader one has a video about that). Then the mount points are the same and you're renaming instead of copying / deleting, because you're going from \\rootshare\media to \\rootshare\downloads) There are some caveats with that however. If you did have include / exclude disks or use cache settings different between the two shares, then the renamed file may wind up on the wrong disk (it'll actually stay on the source disk) in apparent violation of the rules, but it's actually not a violation because you're bypassing the system