Well, it's hard to say, but I lost quite some hours to figure out that the culprit is Avast.
1. I've tested Firefox, Chrome, Opera and Edge.
2. I've tried with and without any download manager.
3. I've tried disabling Windows SmartScreen filter.
4. I've tested three different networks (one ethernet and two WiFi).
Only disabling Avast will allow me to download executables, .msi and archive files that match the hash in the download site.
I'm on Windows Insider Preview 14942 (x64).