Command-L: downloads the latest headers of the selected subscriptions from the news server.
Command-D: downloads the bodies of the selected articles (or the file data if the selected articles are files).
If you just select a single article (message) then the body of that article is automatically downloaded.
Command-D is just an additional function to download files or to download a bunch of message bodies at once.
A message body is the actual text (content) of the posted message.
These bodies are not downloaded with Command-L, but just the headers.