Since you're a premium member to start with, I suspect it is because you're downloading the LOC instead of the GPX. Maybe a description of how you're downloading the caches to your Colorado will help with the troubleshooting.
I did a PQ for the Zip in Wisconsin, found 25 to download, then couldn't figure out how to download all at once so had to do it individually. The former problem was that because I wasn't a premium member, I didn't get any of the description of the others I had downloaded. (bought the GPS from an individual who downloaded a bunch for me to start off). So, yes, premium is the way to go!