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Also check this post: https://community.checkpoint.com/t5/Endpoint/Sandblast-agent-for-browser-file-can-not-be-downloaded/...

This is the way how the product works by default:

1.You click on the file to download it and the download procedure (triggered by browser) should be started.
2.But since we have Harmony Endpoint extension it catches and stops this download and goes to a link to get it
3.If it is one-time link the agent cannot get the file from the same link and you are getting the error message "Could not download the file. If you trust the web page try it again"
4.Then, if you try to download the same file again (meaning click on it), then according to the previous error message you will be able to get the file, because Harmony Endpoint will not inspect the same URL again.
5.Another option, if you do not want to get this error message all the time and trust the website, you can just exclude it from scanning.