Hi,
There is no option for this. However, with a view override on the order / show.php page where the link appears on the website (or user / downloads for the downloads listing, or product / show_block_files for the product page ), you could add the HTML of a checkbox with some javascript on the link to check that the checkbox is checked. So it's nothing complex to customize that way. It's just a few lines of HTML/javascript:
stackoverflow.com/questions/16243705/onl...is-selected/16244080
Now, the download link also appears in the email notifications, and you can't add a checkbox there nor javascript, as it's not possible to do that in emails. So you would have to customize the emails too to either remove the links, or change them to redirect to the order page where they could see the checkbox with the real link.