Does the Power Nap support the purchased apps download? Does the Power Nap downloads the just purchased App Store apps? I am expecting it so as stated in this Apple Support Document - How Power Nap works on your Mac. 

But, I think I misunderstood it because when I have clicked Install below the Xcode icon in App Store which initiated the download, when the download is at 800MB I have plugged in my MBP-RD-2015, closed the lid, opened it after 30 min and disappointed to see the download is still at 800MB. 

I have verified that in settings power nap is checked while plugged in and on battery (I have enabled it before). Does  Power Nap support purchased apps download or does it only supports downloading of updates in App Store?
I think the key to when/how App Store downloads are process is, according to the link you provided,


  Mac App Store downloads are checked once a week.


You didn't give it enough time.

The way power nap works is that "Sleep" takes priority.  If you want to put your MB to sleep now for whatever reason (say, you are going into a meeting), it doesn't make sense for your MB to say "no, I think I will continue downloading"  

There is a "schedule" or a time interval when your MB will wake.  Once per hour to do something small like check mail or your calendar.  Once per day for updates (bigger activity) and once per week for pending downloads.  

To check for these things, it has to come out of sleep "half way" - meaning enough to turn on networking and your drive, but not enough to bring up your full GUI and related services.  If your MB is going to be checking and downloading continually as opposed to the schedule, then it's not going to sleep; which defeats the purpose of putting it to sleep.