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.
.... Thats like the half the reason you subscribe to it.Obviously Nintendo will keep it behind the subscription, otherwise you would subscribe to one month, download all games, then stop subscribing.Same as PS Plus and Live.