Download transformation can be used to download any type of file. But it only supports basic authentication.
Most likely target website uses some other type of authentication, so it doesn’t accept passed credentials and responds with an error page. And that page is being downloaded by EasyMorph instead of the requested file.
There is no simple way to make Download transformation to handle authentication on an arbitrary website.
Possible workaround here is to try to utilize PowerShell in one way or another. But I haven’t tried this approach myself, so I can’t help you with it.
Another possible workaround is to try to find out direct URL of the target file and see if it’s password-protected. Some websites only protect URLs which lead from website pages to the actual files, but not the files themselves.