Hi,
The way you configured your shop, the "shipping address" area should disappear when the customer only has weightless products in his cart.
However, the billing address is always asked, regardless of the weight of the products.
That's because normally, you need to know the legal address of the customer, even for weightless products, so that you can collect the tax accordingly as required by law (as it is usually the case).
Now for free product, weightless products, if you don't need to collect anything, then if it's a download, you could edit the file and activate its "free download" setting. That way, it would be available directly on the product page, without the need for the user to go through the checkout.