In several of the game I bought recently there is a link to download bonus material with the downloader, e.g.
https://www.gog.com/downloader/listing/albion
the last is "Albion - bonuses" "download all goodies" 0 MB
and when I click that nothing is downloaded as if nothing is there to download.
Same for Anno 1503 and other games.

Is there bonus material that I can´t download due to an error? Or is the "0 MB" meaning that there is no bonus material to download?

Anno 1503 and Albion have no extras. Probably the same case with the rest of your games.

There is no bonus material to download for those games.

If you go to your library, and click in one of the game boxes, it will show the available extras (avatars, wallpapers, soundtrack, etc) for download.
If you click in a game, and there's no 'GAME GOODIES' written anywhere, there's nothing to download.
"Is there anywhere else I can see this info?"
You can search for a game in the main page, enter the game page, and look below the screenshots of that game. If there's no 'Included goodies' written there, there's no bonus material.