When that checkbox is greyed out, that is generally because the xtrainfo.txt file does not have the definitions for that xtra. I bet when you upgraded to D11.5, it overwrote your xtrainfo.txt. If so, that is a serious bummer. It is in the Director 11\Configuration folder. Anyway, add a line that looks like this (you will need to change the filenames/URL to match your xtra):
Several issues have been reported regarding D11.5 (Shockwave plugin v11.5), xtras and "download if needed".
I talked to Allen and the dev team is trying to figure out what's going on there.
Ok, the xtrainfo.txt file was overwritten. What threw me off was that even though the Xtra was not being downloaded the game would still work fine, as though the Xtra were there on my local machine (I checked "C:/Users...Shockwave Player/xtras/download" and it wasn't). Strange.
I don't know anything about your project, but many online projects are older (v8.5 ... v10).
In this case, on Windows machines the xtras are located here:
C:\Documents and Settings\ ... \Application Data\Macromedia\Shockwave Player\xtras\download\