The sync option has three modes : Update Server (for uploading), Update Mac (for downloading) and Mirror (two way syncing). So, you would want to choose the Update Mac option from the popup menu at the top of the Sync Setup window.
However, for a first time backup the sync feature is unnecessary, because there is no work to do other than download everything. All you need to do is select all the server items (use Select All from the Edit menu) then click the Download button, and they will all be downloaded to the currently displayed Mac directory. So make sure to set that to your desired backup location.