Rachel, are you sure you're downloaded records are actually filtered? When I do a filter of a downloaded dataset, the download results indicate that the dataset is filtered. I didn't see that indicator in your screenshot.
I saw the same behavior at home, so I don't think it is a firewall issue. In fact, when I look in the Open Data Data manager tab, I see that the download failed on the ESRI side, so I don't think it has to do with browser or firewall settings.