I also spent a little time with a QBO support member who was chatting and screen-shared with me to resolve this issue - they did not find a resolution to be able to assign a payee per split until I mentioned my solution that I posted above about making a journal entry and then matching it to the downloaded transaction. They agreed that this would be a solution - in addition, you can create multiple manual expenses as separate transactions that will total your downloaded transaction, and for each of those separate manual expenses, assign the appropriate payee. Then match those expenses to the original downloaded transaction so you don't have a double entry. This seemed more cumbersome than doing a journal entry, so I didn't try it with the support member who I was screensharing with.

The other way to do this is to use the "class" feature, but unfortunately this feature does not show up in QBO unless you are using the Plus or the Advanced versions of QBO. But in those versions, you would be able to split a transaction and select a class for each split, allowing you to separate out the transaction per class that you can generate reports for later. While a class is not necessarily the same as a payee, it allows you to generate a report. I am unaware of whether the Plus or Advanced versions open up the ability to also select multiple payees per split, but there's a possibility that it does if it is introducing Classes per split as well. 

Hope this helps!