請問非法下載東西在我的網絡賬號裏有記錄嗎？

If they asked your ISP for your info. and they refused, they have to sue your ISP not you. So, ISP will give them your info. to avoid law sue. As you said your ISP told you they have no bad record in the ISP system that means they didn't get any support avidence from your ISP.

How do they proof you did download the film? 

You can proof you didn't do it, because your ISP has your clean record.