I have no problem downloading a Hunspell dictionary.
Which version of DSpellCheck are you using? I tried with v1.4.24 and it worked, and then saw there was a new version, and updated to v1.5.0, and it still worked.
Or maybe you are on a computer that needs Proxy Settings – the Connection Settings button in the Download Dictionaries Dialog allows you to set up a proxy.
If you’re using Windows 7, maybe it doesn’t properly allow https through whatever libraries DSpellCheck is using for the download. In which case, maybe there is an older version that still works with your Notepad++ v8.4.2, but will use an older library for doing the download, which will be compatible with Win 7. (Just a guess. Remember, technically, Notepad++ officially says that Windows 7 “can run” but is not supported. And I don’t know what DSpellCheck policy is on that out-of-support OS.)