Follow-up on this topic: I fixed it. :-)
The problem was because I tried first on the local workstation I’m using: it is in charge to me, but it is set up and configured by my compnay; surely the firewall and proxy rules (that I cannot disable) create troubles in downloading media.
I set up a new WP installation with Enfold theme on a Remote Server (with Remote Desktop) with the same software XAMPP (Apache, PHP, MySQL, etc), directly connected to Internet, and the download of the Demo worked fine.
Thank you anyway; now I know how to contact you for any support. :-)

Sergio Barbieri