A few reasons.
1. They can use technologies to help avoid drive-bys, or people essentially sharing the link to just the actual download, and not the host site.
2. They could be serving it from a content delivery network, which could legitimately take a small amount of time to find the best one for you to download from.
3. It gives the user a chance to leave before the download starts if they didn’t intend to download it, which also saves the host bandwidth.
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