Download from different server

In the documentation for downloading digital products at https://docs.woothemes.com/document/digitaldownloadable-product-handling/ is the following stated:
When setting up your downloadable product, be sure that the downloadable file settings use the same URL formatting that your site does. Make sure that it matches the site URL in your WordPress settings. (i.e., if you have a www in your site URL, then make sure that is in the file URL.)

However: is it possible to point to a different server and accomplish successful downloads?

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