You don't download individual NES games. All the games are accessible through an NES Online app, which checks if you're still subscribed. I'm not sure if it checks every time you open it or once per week or whatever, but if you unsubscribe you will no longer be able to use the NES Online app when it checks your subscription status.
So you have to keep subscribing or they're gone forever? If so, that's bullshit.
Some days I just blow up.