Yes this would be expected behavior. It is asking you where you want to download your install files too. I would recommend choosing the default which is your User folder or your Desktop. The Adobe Download Assistant does not have permissions to save to your Program Files folder.
Your welcome AychP84 and you aren't the only user who has ran into this difficulty. We have also provided feedback to the Adobe Download Assistant team and they are looking at including an error message for users who choose Program Files for Windows or the Applications folder on Mac OS.