Because Cyanogen is a completely different OS, it's like installing Linux on a Windows system, it needs a clean slate to install, which requires removing everything that stands in it's way, which is everything. Your phone probably uses an SSD-like storage system, so it's nearly impossible to recover files with software. Sometimes Android automatically backs itself up to your Google account, so I would check there. Sign in to your contacts app on your new (and awesome) OS, and see if they come back. If not, your carrier might back them up as well. Same thing for your calendars, but the downloads, I don't think they can be recovered. Sorry.