What process are you using to download the caches? When you search for caches, make sure to select "by name" since "nearest" is limited by 50 miles.
I went into a cache and selected "download to GPS" having connected GPS to PC. ,gpx file was created on SD card in GPS unit but can find no way of accessing it via the GPS unit. I did use a local cache to practice downloading in this instance. Thanks for your help and hope this information helps.