apparently there is an issue with on premiss none NTLM agents. https://developercommunity.visualstudio.com/content/problem/520932/azure-devops-server-2019-where-is-partially-downlo.html

Partial artifacts feature isn’t enabled by default in Azure DevOps Server 2019. We have an issue with “Download Build artifacts” not working with NTLM based proxy hence we couldn’t roll out this feature to OnPremise customers.