If there’s a system proxy set on Windows, and you run Download Assistant, it will connect to the proxy but not send any request.
I’ve verified this with wireshark (packet capture).
If the computer has no proxy set, then even if the proxy intercepts the connection it works. It’s very clearly just a bug in the download assistant.
Some people don’t have a choice whether they connect via a proxy or not (e.g. in corporate environment, proxy use can be dictated to users by IT).