basically when you download the file the following happens:
- The client tells MWG "I want to have that file"
- MWG establishes a connection to the remote web server and starts downloading the file
- While MWG is busy with downloading the file it sends the current status of the download to the client, which is displayed in the progress page
- When the download is finished MWG tells the client "I have the file now, here it comes" and you can download it.
The error message indicates that the connection from MWG to the remote server was killed while the download was running. Maybe the server has a problem, a firewall in between closes the connection or MWG has some kind of issue.
Since there are a couple of options I recommend to file an SR with support and provide a feedback and if possible a packet capture showing the client and server connections, to allow support to isolate the issue.
Also the exact download URL would be helpful.
I don't think that this can be answered so easily. I am not aware of similar issues, so the problem may be caused by a lot of aspects, within MWG and/or apart from MWG caused by the environment.
It would require a packet capture to have a very close look at IF the mentioned connection is really closed (or if the error message is thrown elsewhere) and if it is closed, who closed it and why.
Every assumption I could make is guessing, which won't help you solving the issue - therefore I recommend filing a service request with tech support and give them all information required to see and isolate the problem.
This should be the best way to solve the problem. If xou are just looking for a quick workaround try whitelisting the file you are downloading. In this case MWG will not download the file and keep the client busy, but will tunnel the data - there is a chance that this will work.