There is built-in downloads (if the server has set sv_allowDownload) but it is ridiculously slow, and attempts to download every PK3 the server has loaded. There are also serious security vulnerabilities if you are running the retail/vanilla dedicated server.
Technically speaking, you won't need JA+ installed on the server to activate the download feature on JA+ clients. You just need the cvar (jp_dlBaseURL) created with the right flags.
Now that I think about it, it may require the SYSTEMINFO flag, so sets (set + SERVERINFO) might not work, but it's worth a shot n_n'