I have been trying it myself from several locations for the past two days and no luck. You can the "Download all external links" on the "Pages that link to yours" page under "Links" and nothing happens. The download just spins and nothing gets downloaded.
This is not just happening to me. Several other people are reporting this via Google Groups. So there appears to be a real issue with this download feature at the moment.
I am sure it will be resolved quickly.
Hat tip to The Hodge from bringing this issue to my attention.
Forum discussion at Google Groups.