What is this icon on file download (see image)?

The Finder doesn't always refresh properly. I encounter other situations where I must either restart the Finder or reboot to get Finder to update the information on an item. It is very annoying. At least with other file explorer type utilities they usually give you a manual refresh option, but I'm not aware of this being an option with macOS.

It's an indicator of how much of the item has been downloaded/remains to be downloaded. It's not very accurate, and more to let you know something is happening.

I doubt you did anything wrong. I'd say it's just a minor cosmetic glitch.