I am guessing you are using the latest LW version. This is because LW now has a special filter that knows the hash design of known spam files. It knows these files to be fake files & removes the file at completion of downloading. I believe they will work on trying to have this action happen earlier rather than at the end. LW has added this filter to prevent people sharing these spam files (frequently viruses.)

But it suggests all your chosen files were spam.

How to find music and Virus thread: Typical virus spam file sizes - Make a note of them (click on blue link to see)