The good news is that it works great for the Build 2017 sessions.
Here are the parameters needed to grab them all.
SessionDownloader.exe C:\Downloads\ https://s.ch9.ms/Events/Build/2017/RSS
Once you hit enter , the no frills UI updates you on its progress.
You can grab the code off GitHub and download away. There are other parameters than let you control which file types to download.
Note: since it takes around 24 hours for the team to upload the videos on the site, you will need to re-run the program every couple of days for a while to make sure you get every last session. The program will not download a file twice.