According to the screenshot you provide, it may be caused by the unmanaged devices setting and conditional policy.
1.Go to the SharePoint admin center -> Policies -> Access control -> Unmanaged devices -> Set "Allow full access from desktop, mobile apps, and the web.".
2.Go to Microsoft Entra admin center -> Protection -> Conditional Access -> Policies -> Check whether has policy about download files.
Reference:
IT Admins - SharePoint and OneDrive unmanaged device access controls
Office 365 - Unable to Download, print, or sync when using Chrome or Firefox (but works in IE)
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