Extend the download warning to the download window

Spinning off #42220.

At a certain point, we moved from Torbutton's download warning, to one that doesn't interrupt the flow (#40701 (closed)).

While this has a better UX, but downloads can still see an improvement.

We insisted to restore the download confirmation window because it gives a final opportunity to prevent a disk leak by canceling a download. (Also, no matter what Moz and Google say, some inexpert users have problems to find the default download directory).

That UI is pretty ugly, because it's a classic XPCOM components that has always been like this, or had very small changes (really, the thing was already in Firefox 12, it saw only minor changes from that).

However, we could add a warning also there to remind the user before they start downloading, instead of after.

Please notice that "Open with ..." is also dangerous, because it hides a download, also when choosing "Opening with Tor/Mullvad Browser" (unless we find a way to patch that).