this means MWG failed to download the two files mentioned. One file is for the URL categorization, the other one is for the Anti Malware engine. The big question is now if this is a temporary or a permanent problem. Even if a download fails there are several attempts to download the files again and even if all attempts fail MWG will try to fetch the files again when the next update job is triggered, which is usually 15 or 30 minutes later, so usually there is no risk in not receiving updates.
Can you check what versions are currently installed? You can check this in the dashboard.