That option does not override 'never' on my machine. I have that option enabled, and just set the Energy Saver sliders to 'never' when making a long download. Then I go away and take a nap or do something else. The download always completes, even over several hours.
If your ISP had a brief comm interruption while you were away, that could explain it.
That's what I'm suspecting also - driving me mad as I have a large multi-part download (Mainstage / Logic extra's) and there is no option to download components separately. I'm now on my 8th attempt and download always hangs at some point. Time for a new router I guess but I wish Apple would make this stuff downloadable component by component like they do with Software Update....