What is the project setting? Go to Edit -> Project Settings and check the values in that. If it says something like 1920x1080, you should see the HD templates. If it does not, go to File -> New Project and change the setting manually. If you still do not see it, wait for the download to happen - the content is online this time around.
In the Expert view, you can access "Movie Menu" from the Action Bar Menu at the top of the interface or from Tools/Movie Menu in the expanded Action Bar at the bottom of the interface. When you do that, how many DVD Templates categories do you have? The "Slideshow" category/Pan and Zoom theme installs with the program. No downloading necessary for that one. If you have a HD project preset, then you will see thumbnail for Pan and Zoom, with HD in the thumbnail's top right corner. Do you see that?
The important questions become:
a. in spite of the fact that you believe that you have downloaded all the DVD Templates, how many categories of DVD Templates do you find under Expert view Action Bar Tools Movie Menu and how many of them still have the blue bar at the top right of the thumbnail?
b. have you verified the project preset that Premiere Elements has selected for you (please see Edit Menu/Project Settings)?