It is mandatory that you allow Pop Ups from Salesforce domain as browsers are interpreting this “download” action as a popup in new window. If you are’t sure if your pop ups are already approved, you will notice that when you attempt to generate a document for download to your computer, there is usually an indication that a pop up was blocked and you have the option to approve that URL for the future. Once the URL is approved, you should not have to do this step again.

To check your pop-up settings in Chrome Browser: chrome://settings/content/popups?search=pop. You will want to make sure you allow Pop Ups from Salesforce and/or RS Documents domain.