I would definitely try with powershell_script first to see if you encounter the same issue with downloads failing after 30-40% outside of the Chef/Ruby installation on Windows Server 2019. If you get a reliable repro, try launching a Windows Server 2019 machine in another environnent (e.g. spin up one in a Cloud environment) and try from there.
If you still believe you've eliminated as much as you can other Chef/Ruby code then drop by the GitHub and raise an issue with your repro code. FWIW I did not encounter any problems testing with large files in Windows Server 2019 so I'm hopeful this is some more local to your environment.