Non Queryable Objects
Not all objects in Salesforce can be queried and these cannot therefore be included in any downloads. These are objects with the flag is_queryable = 0. You can see these objects in the sfm.sfm_objects table:
select * from sfm.sfm_objects where is_queryable = 0
In addition some objects require specific permissions or filters in order to be queried. These objects also cannot be downloaded. These are also flagged in the objects table with the cant_query = 1 flag:
select * from sfm.sfm_objects where is_queryable = 1 and cant_query = 1
Note that is_queryable is set by Salesforce but cant_query is set by the SF download process. A test query is run against all objects and if they fail the cant_query flag is set.