When the frame is downloading photos and videos a download indicator will appear while this is happening. You will see a message stating "Downloading n items out of N". This means it is downloading the nth item out of a total of N items. N represents the total number of items that can be downloaded at that time. N may grow as the frame discovers there are more items to download from the cloud. The indicator is located on the bottom portion of most screens.
Note: When downloading is finished the message will display "Downloaded X of X items". The indicator will disappear on its own 5 mins after the downloading of the last item.
If you tap on the download indicator, a little popup appears that gives you more detail on the items being downloaded. Tap on this to minimize back to the simple download indicator.
If you want to see the most recent items you downloaded you can go to the Recent Items playlist located in the Switch/Select Playlist screen.