https://www.cnet.com/news/cant-stream-ps4-and-ps2-games-playstation-now-adds-downloads/

PlayStation Now lets players stream a catalogue of PlayStation games to their Windows PC or PlayStation 4. Streaming games requires you to have a strong internet connection, but by adding downloaded games PS Now gives you the option to play offline or when your internet connection isn't so great.

Sony says the feature will roll out to PS Now subscribers over the next few days. It also says that downloaded games will support DLC and micro-transactions, as well as save data through the PS Now cloud. So you shouldn't have to worry about losing any progress.