Hi! First of all: Thank you for your interest in my game!! :)
It‘s weird that the site requests some kind of permission, I haven‘t seen that before.
Maybe you could try the alternative download mode? If you‘re on the downloads page, there should be a small grey link on the right called „Downloads not starting?“ Clicking on it will allow you to enable the alternate download mode, which should work if your region is blocking itch.io‘s CDN.
Also check if you have a VPN enabled. I‘ve heard that in some cases that could mess with people’s downloads too.
Good luck <3