Is there a way to create a notification after a successful download of a media in the player?
Perhaps, but it would require additional code, as it is now system notifications are auto created and sent when the maintenance tasks run (if email alerts are configured emails we will be sent as well) ie for players having problems downloading files, displays offline/online etc + custom created notification that can be sent as email/ displayed on the layout (in 1.8.3 there will be Notification widget for that).
in short we expect display to download everything it needs, so success notification about it was not something we included, however if there issues with downloading then those notification are of course important and will be sent (if configured).