If your single-window mode options are set to "reuse" (1), recent nightlies will close this window after you click on the link.
When SWM is set to reuse, no new window is ever created (unlike with SWM off or SWM set to tabs), so no window should be closed by the "download-closing hueristic".
Even worse, if you were to navigate away from this page before the download finished (you'll need a much larger download than this, or a really crummy connection), the window will still be closed. The hueristic should unset its "this needs to be closed" flag if the url of the window/tab changes between the time the flag is set and the time at which the window/tab is closed.