I tested your action script in my environment and the file was downloaded as expected to the _Download folder on the targeted endpoint.
Have you verified the download folder on the endpoint to ensure it is not in there (Program Files(x86)/BigFix Enterprise\BES Client__BESData\actionsite__Download)? Are you using a Fixlet or a Task? Have you defined any success criteria after this action completes? See @AlanM response on a previous thread regarding a “Failed” status.
I don’t know why that would be, but I never use that form of the download - I always use the form that checks the size and hash of the file, even for stuff hosted internally.