is there a way to download them?
Topic on Talk:Quantum Break
Streaming cutscenes on Steam
Not to my knowledge, no. It might technically be possible, but so far I've not heard of anyone actually giving it a shot.
As I understand it, the PC cutscenes was provided in up to 4K quality which would mean downloading all of them (there's different cutscenes based on player choices as I understood it) would mean some 200+ GB or something being required on the disk.
And so instead they merely supported streaming the cutscenes -- which automatically adjusts the quality on the fly based on the bandwidth available.
Replay Media Catcher might do the trick. Or eventually Fiddler.