The text that the app shows above that message explains what is going on. The server connection was lost before the download was complete. Try downloading again. Likely your network was unstable.
I have the same problem regularly in recent months with downloading podcasts from ard-mcdn.de (and only from there). “Server connection was lost before completing the download”. Streaming works, download does not. Perhaps timeout problems? “resume” download would be helpful instead of retrying again and again and again from beginning.
(Example podcast: Streitkräfte und Strategien | ndr.de)