A download passes several checks: the browser's own safe-browsing service, any security software watching the downloads folder, and the operating system's checks when the file is opened.
Any of those can quarantine the file without a clear message, so it appears to download and then vanish. The browser's download list usually still shows the entry with a small warning icon.
Interrupted downloads are the other half. A dropped connection or a full disk leaves a partial file that the browser cannot resume, especially on sites that do not support resuming.
Before disabling protection, check the quarantine list — the file is usually there, and the warning is often correct.