No error message appear - the download never completes after the 'GET' option for the App is selected, and after a timeout the app is again available for download.
MacOS Catalina 10.15 and 10.15.1 both have a known issue handling WDAD or PAC files.
A change was made with this OS to only support the http and https schemes for download PAC files, which is what was setup here so this change did not apply.
Upgrade to MacOS 10.15.2 beta build which includes the fix. Another option is to disable the Automatic Proxy Configuration pointing to PAC / WPAD file and add the transproxy endpoint information to the Web and Secure Web Proxy fields as shown below: