If you’re using Git, it will automatically download the new dependencies whenever you checkout or merge something. You can run Setup.bat at any time too.
With the source zips it’s a bit trickier to make sure you’ve got a clean sync without downloading everything again - you can’t easily update the source code in place without leaving deleted files around, and there’s no clean way to separate out things in the zip from things in the dependency downloads. There’s the content folder, samples, templates, bits of the ThirdParty folder - all mixed together within the same folders as the source.