I was convinced it's just SRB2's built-in downloader being idiotic when there's more than 1 WAD to download.
Usually, when I have that once-a-year feel to actually JOIN a heavily WADded SRB2 server, I usually have to take at least 20 attempts for it to successfully download all the WADs. Either the download just stops (Esc, reconnect, download again) or it crashes and says "File not requested".
.. So yeah, there's more detailed information for he who shall fix this strange glitch. ;o