If it's happening for all the games you download from itch.io, then it might be a browser (or browser extension) issue. Unfortunately, that kind of stuff is outside my area of understanding (since it has nothing to do with 14DWY or its development), so I can't offer any help or suggestions other than to try a different web browser, temporarily disable any browser extensions, or check whether a firewall/antivirus is blocking your downloads.
Edit: It's also possible that your downloads are being saved to a different location. Could you try searching for any folders named "14dayswithyou" or "14nightswithyou" to see if anything shows up?