I had the same issue. The .exe file in the same directory was getting downloaded properly, but the .dmg file wasn’t. Thus, it was obvious that the problem was with the extension.
The problem : MIME type for .dmg is missing in IIS which is not recognizing/allowing it to download.
The solution : Create MIME type for ‘.dmg’ extension!
file Name Extention : .dmg
MIME type : application/octet-stream
Hope this helps. Thanks.