Hi,
There is no setting in the HikaShop configuration which requires to choose either downloadable products or hard copy products.
It's possible to have both, that's not a problem.
There is a setting called "force shipping regardless of weight" which will force the customer to select a shipping address and shipping method even if the products in the cart don't have a weight. But if it's turned off, the shipping interface will be on or off automatically on the checkout based on the weight in the products.