I'd noticed "incomplete" (but in fact OK) downloads with Firefox too, but just assumed that it was a quirk of Firefox. In particular, I suspect Firefox may be a little off in its estimate of how much is left, both file size and estimated remaining time.
What I get is similar to what you describe, Firefox's download-manager window closes unexpectedly at (supposedly) 95 pct complete, more or less. But the download's definitely complete and OK.
And I was using Web Shield long before I switched from IE to FF, so I haven't a clue (and don't particularly want to find out) how Firefox downloads run without the shield active.