It seems the Download as CSV button doesn’t work any more for the last few versions. I upgraded from version 3.3 (didn’t work here) to version 4.2 and it still doesn’t work. It used to work before version 3.3 and downloaded the current query results to the c:\Downloads folder which was very handy. Not sure if I am doing something wrong?
But this works for me. I'd say it less likely to be a bug, and more likely you just changed something in your browser where pgadmin runs which changed the way downloads work for you.