This may be correct based on the Web Control policy configured for the user. The following steps should be followed to determine the correct behavior.
1. Navigate to Policies
2. Click on Web Control
3. Click on Additional Security Options
4. On Risky Types Files choose Let Me Specify...
5. Click on View More
6. On Adobe PDF choose Allow
7. Click on Protect against data loss
8. On Downloads choose Allow
9. Click on Save
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