Need help protecting download links with membership plugin

Hello, I'm using the membership plugin and everything's working fine, except for the download protection. I have tried to follow the instruction by Vaughan here: https://premium.wpmudev.org/forums/topic/how-do-i-protect-urls-like-pdfs?replies=4#post-470871

but I still can't get it to work.

So, here's what I did:
1. create a URL Group, group name: Downloads

2. add my Masked Download URL (http://www.mysite.com/downloads) to the URL Group
http://i.imgur.com/yNb6WEs.jpg

3. in the Download / Media Options, I chose Basic protection for the Protection Method, and add "Downloads" (without quotes) to the Protected groups
http://i.imgur.com/piT68Xt.jpg

4. I go to Access Level, edit the Premium level and add Downloads to the Positive Rules, with the Downloads group checked
http://i.imgur.com/V76OBJb.jpg

5. I make a new page called Download, Add Media, Upload the .zip file, and click Insert into page.
http://i.imgur.com/jqNxrNg.jpg

6. I add the Download page I just created to the Positive rule for the Premium access level
http://i.imgur.com/BiGRA1J.jpg

7. Now, when a premium member logins, and go to the Download page, the link is still not protected, please see the screenshot below, pointed by the red arrow.
http://i.imgur.com/cR6d7Vf.jpg

What step am I missing here?

Thanks