For anyone else wondering how to recursively download with this:

    lftp cdn-fastly.deb.debian.org:/debian> mirror doc
    Total: 2 directories, 43 files, 0 symlinks                             
    New: 43 files, 0 symlinks
    1031755 bytes transferred in 1 second (678.7 KiB/s)
    lftp cdn-fastly.deb.debian.org:/debian> 

Warning, -R means reverse (upload!), not recursive. ;)