Add err msg if download failed

[yuanzhedong]

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What does this PR do ?

There's a chance of network issue that the downloading will fail. Need better error message to indicate that.

Add a one line overview of what this PR aims to accomplish.

Before if the download failed it will complain with

FileNotFoundError: [Errno 2] No such file or directory: 'gpt2-vocab.json' 

Which is due to the next line shutil.move. The original error message is misleading.

Collection: [Note which collection this PR will affect]

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