Happened to me a number of times.
I realized one thing last time around - If I drag and select the url the copied data somehow differs to the copied data that I get by right-clicking on a link and selecting 'copy link shortcut/url'.
Both copied texts when placed in a browser do the same thing and prompt you to save the pkg file.
The only problem is PS3 Proxy Server sees it differently and doesn't work with the drag and copied data.
From your quote it seems that you are downloading it from the store and binding the first and only url you get to the file. Everytime you start your downloads from within the store either by going to View Downloads or going to the game's page and start the download it will state and start using 3 links and will do it directly from the internet. That is why I switch to download in background and then test by trying to bind the file to only one url that you get on resuming the file.
Got it working. I did this:
1. downloaded the game from PSN store via PS3 proxy, saved on lappy
2. after download was complete, re-clicked the download button and asked PS3 to download in background.
3. quit PSN store, went in to network -> download manager
4. ps3 proxy gave me a link with some ip address, replaced it in PS3 proxy
5. paused and resumed, gave me another ip address.
6. i again copied this address and added it into PS3 proxy
7. did it till i got almost 5-6 ip addresses.
8. finally the same IP address managed to pop-up, and voila, it routed to my PC download and it went through