Follow the below steps and then try to download it.
I just need to turn on Firefox. Adderssbar
Type about: config in the Firefox address bar
Find security.csp.enable and set it to false.
Now try to download after refreshing.
PS: View Mass File Download, Salesforce file download app on Salesforce AppExchange: https://appexchange.salesforce.com/appxListingDetail?listingId=a0N3A00000EcsAOUAZ