This still exists the same way in version 9 - if you right click on a patch and choose download it will show the name of the patch file and if you just hit the download button it should show the file name for each language available.
It's possible you might need to go into Tools > Options > Notifications & Warnings and enable one of the settings here if it has been disabled.
Otherwise I'm wondering if you're using a view that I don't normally use - could you post a screenshot of the view you're trying to do this from?
It's the Results view. In v8, looking at the results of a scan, select one of the Patches Missing, then there's a Download button on the upper right of the Patch Information section. Even if the file had already been downloaded, from that button I could view the name of the executable.
Maybe the right-click/download will show the file name if it hasn't already been downloaded, but all of mine on v9 have been downloaded. I tried from Patches view on a patch not previously downloaded, but saw no change. It just asks what language, then goes on to the download. During the download, yes, I can view the name of the executable. So, I guess I can 'fake' a download on the non-Internet-facing server to get the file name
Is there any other method I could use in v9?
The only I know of is to right click on the selected patch, and click download, or click on the kb article and download it from the Microsoft website directly.
Just remember the naming convention of the file might be different when downloaded via MS download site directly vs. through Protect.
This is the view I get when clicking the download button for a single patch in my scan results (default settings in Protect 9):
Also, if I highlight multiple patches in the scan result, right click, then choose download it will go to the operation monitor where you can see the patch file name for each patch:
I'm not aware of any other method to be able to see the file names currently. I hope this helps.