This I believe happens when you have both SandBlast Agent and Gateway Threat Emulation at the same time. When you click on a link, the gateway attempts to emulate the file and at the same time the SBA (Browser extension) tries to access it but is locked until the Gateway get a verdict. You have two systems fighting to analyse the same file.
An additional issue is with downloading files from computer without the SBA agent. The behaviour is different each time since the browser is trying to download the file but the download pauses. The Internet Browser cannot download the file and you get these errors.
CP should provide a solution since the behaviour even though technically is totally correct, the end user experience is problematic and creates a lot of calls to the service desk.
Additionally a clear policy should be adviced by CP in cases that you have SandBlast Agent installed on some computers, Gateway Threat Emulation and computers without the SandBlast Agent.