Please note that if you’re selling both shippable and non-shippable products then you need to set up your shipping options as required and make the products that won’t ship "Virtual".
Once the shipping functionality is turned on, WooCommerce allows you to set up shipping costs for products in your store.
But if you are also selling virtual products (digital downloadable files), then you probably won’t want to charge shipping on those items.
If the virtual product you offer is already set as "Downloadable", after enabling shipping, it will also need to be marked as "Virtual" to be shown without any shipping fee on your storefront.
If you would like to remove the shipping for specific digital products:
1) Please go to the “Products” admin section in your WooCommerce dashboard.
2) Search for the product and go to the edit screen
3) Scroll down to the “Product data” section
Please see screenshots below as a reference.
4) Check mark the option 'Virtual'
5) The shipping section disappears and after saving changes the product the will be shown on storefront without any shipping charges.
You could additionally refer to the following Woocommerce help center articles:
https://woocommerce.com/document/before-you-start/ and https://woocommerce.com/document/digital-downloadable-product-handling/