I wasn't seeing the Toggle Filters slider under Download Options; it has to be slid to on in order for the filter to be applied to the download. Others weren't seeing it either; finally, someone noticed it and pointed it out. It's there; however, there is something about the page layout that causes it to be missed.
We too get spinning wheels and error messages sometimes with downloads. Are the long-spinning wheels and error messages something seen when the underlying data is from ArcGIS Server (cloud-caching dynamic)? Are these issues reduced/removed by serving data via ArcGIS Online instead?