On the content delivery network (CDN) settings tab, you need to select "Import external media library attachments" and save your settings before running the import tool.
I have the same error. And I have searched and searched the current interface for a select item on the Content Delivery Network (CDN) settings tab called "Import external media library attachments".
The general tab there has these options, all checked:
Host wp-includes/ files
Host theme files
Host minified CSS and JS files
Host custom files
(Save Changes Button)
Then comes Configuration and Advanced. Can't find it there, either.
OKAY! Tried something. Disabled the MaxCDN and switched back to self-hosted, and viola! Two options appear:
Force over-writing of existing files
Import external media library attachments
I turned on the Import external media library attachments, switched back to the CDN, and NO! Unable to download file...
For example, this loads fine with http: but the import into media library fails with Unable to download file.
Anyway, feels like a big or something I don't understand. Thanks for your help!