You can say yes to download the files if it does not allow you to go further, but those files are not used if you select DD mode.
When selecting DD mode, Rufus is doing a byte-for-byte copy of the qubes.iso file to the USB drive. Every byte starting from byte 0 of the USB drive will match your qubes.iso file. You want this, because hopefully you’ve already verified the PGP signature of the qubes.iso file, and this will ensure what is written to the disk matches what has been verified.
ISO mode does not copy byte-by-byte. It installs its own bootloader, reformats and partitions the USB drive, then copies files within the qubes.iso file to the USB drive. The files that it is asking to download are part of that process/bootloader. As the Qubes installer is signed over the whole qubes.iso file, there would be no way to verify the files that are written to the USB drive match what was in qubes.iso. On the positive side, it allows you to put other files on the USB drive, whereas DD mode makes the USB drive read-only, as it uses the ISO9660 read-only file system.
TL, DR:
Don’t worry about downloading the files, because DD mode does not use them. But if you do not choose DD mode, you are undoing any signature verification that you previously performed and introducing a potential vector into downloading a malicious bootloader for the installer.