Approximately half the time, my home internet connection requires over an hour(!!) to download a KiCAD installation package, and may abort the download before it finishes. I have never tried to examine the truncated files left after a failed download but it is plausible that they contain an error message. This behavior (failed downloads) seems to depend on the Internet service provider (ISP) - I have downloaded KiCAD installation packages at work, over public WiFi networks, and about half the time at home, and it takes only 4 to 5 minutes.
If you are experiencing incomplete downloads, try downloading from a different location.
p.s. - Can anybody explain why my home connection (supposedly an up-to-date “high speed” internet service) sometimes downloads the KiCAD files in only a few minutes, and other times needs an hour or two? I haven’t noticed the problem on any other web site.