Hi,
In reply to your questions:
1. How can I make sure my backup file is compelet and successful?
The only way to be sure backup is complete is to estimate how much data was backed up and compare it to the size of your account or download and review the archive made by Plesk. If Plesk didn't give any error about backup generation, usually this means that all is fine.
2. I will downgrade my VPS plan to windows VPS hosting plan recently. Should I need to download my backup file to local for restoring it to new location?
Possible, yes. However, we can try to import the backup made in Plesk on Windows. If this fails, you'll need to upload the site data yourself.