I'm trying to offer my clients a web-sized and printmarked download of their gallery, but can't get the option to show up when buying the gallery unless I choose to append the printmark to ALL merchandise, and I don't want it on actual ordered prints.

And unless I can choose different printmarks for different merchandise, I don't see a workaround such as having a transparent printmark.

Any big secret here?

The availability of printmarked downloads is dependent on the printmark setting in the gallery settings. So you can't offer printmarked downloads and have printmarks not enabled for prints at the same time.
What you could do is to make sure that proof delay is enabled in your galleries and then when an order is placed, you could disable printmarks for individual items in the order via the Pro order screen while the order is in proof delay.

Note that during proof delay, you can only remove printmarks and not toggle printmarks back on.

So does proof delay work for downloads then? This page says that it doesn't.

This would be a useful feature for me as well.

Download products can't be proof delayed. They're available to the customer right away as soon as the customer completes the order.