The download key is searched in your database and collected via this URL:
administrator/index.php?option=com_ajax&plugin=regularlabs&format=raw&getDownloadKey=1
As you can see, that page throws an error, which is caused by the privacy plugin.
So the issue is with the "EU e-Privacy Directive" extension.
I advise you to contact the developer of that extension (Michael Richey) about this.
Or uninstall that extension. As it looks like it has not been updated in over 2 years and is not officially compatible with Joomla 4.