That particular alert is a security feature that is, as far as I know, impossible to handle with desired capabilities. I’ve tried every single recommended setting, as well as dug into the chrome prefs file to find a custom setting, with no success. You can check my post about it from a while back:
The only workaround that I’ve found to date is to refresh the page (WebUI.refresh()) between downloads, although this approach might not work for certain web applications.