Is there any way to show where the file is trying to, like somewhere I could add a print statement? I looked through the code for the Download component and send_data_frame and didn’t see a path anywhere (I admit, I don’t totally understand how it works!)… just wondering if there’s something I can do to troubleshoot 
I’ve had permissions and path issues with other components (like the ServersideOutput), and specifying a path and adjusting the permissions for that folder has fixed those issues.