I *think* you'll find this is due to the media type filter which correctly detects ZIP compression within the installer and then helpfully "rectifies" the media type mismatch.
I suspect disabling the media type filter for *.adobe.com will resolve the issue but I haven't tried this myself.
I think jfitznell is right. You can try to whitelist "Media Type Filters" or "Content Type Adaptation". However this will just work-around the problem. I recommend to create a case with Support and provide a Feedback and the exact URL you are trying, plus one or two screenshots showing the issue.
Even if Web Gateway corrects the Media Type in my opinion it should not change the extension.