I am using the 1.5.9 version, theme Collections, and I want to show always the watermarks, but when the user is logged, allow them to download the photo without the watermark, thanks for your time and any help that you can gave me

I am not familar with the Collections themes and what you download. I assume you download the full image. There are separate watermark options for the full image and the sized image. Also there are options to cache the full image separately.

The watermark is added to the image itself so you need different versions. It might not be possible to achieve this via the theme without doing custom coding using the available images functions.

Sorry that there is no simple answer like "just check this option".