I think that appears when your app tries to go to “your app’s URL + another URL”, which can happen if you omit the “https://” from the start of a link url.
Can you share a clone link to your app (or a simpler app that exhibits this behavior)? Or else show us the lines of code that last run before this appears?
In other words, I’m confident that it is not the anvil.media.download line that causes this page to appear. Instead, I’m guessing it is what you are doing to try to bring up a “confirmation page” after the download that is causing this.