A message "underlying connection was closed the connection was closed unexpectedly" would commonly indicate that something in between your BDNA server and the download site has interrupted or disallowed the network connection. For example, network routing may not be allowing your BDNA server to access the Internet.
So check with your network administrators whether the BDNA server has connectivity to the Internet. If that is not possible or not desirable, you may want to consider manually doing doing an "offline" synchronization along the lines of what is described on the following page: Synchronizing Offline
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