You are not really downloading apps to the SD card. When you install an app it gets installed on the Internal memory. From there, a portion of the app can be moved to the SD card.
Most phones have far more SD Card memory than Internal memory. By moving apps to the SD card, this frees up your internal memory allowing more apps to be installed on the phone.
Apps that use widgets should mot be moved to the SD card. The widgets will not run if the app has been moved to the SD. I've never heard of apps that get updated not being moved to the SD.