No, the app is not downloading all messages you already have on the phone. There is an on-device message cache.
If you changed the "messages per page" to 250, that's likely to be it -- this is how many messages the app keeps up to date when it checks mail. The default is 25, obviously 250 is ten times more traffic wise.
Using too many folders in push mode (more than 2-4), particularly with @gmail, can cause higher traffic, especially when combined with an increased "messages per page".