Was George Orwell an Optimist?
Randy Weston - The Spirits of Our Ancestors
So I clicked the "Download board games owned" link on the Collection page and was sent to the "Your request for this collection has been accepted and will be processed." page.
Shortly after I got a mail telling me my request had been processed and then there was a link I could click to download the file.
clicking that link sends me to the "Your request for this collection has been accepted and will be processed." page again and I get a new request processed mail.
So I thought it was impossible to get the collection because of a broken cycle until I clicked the "Download board games owned" link again and this time it downloaded my processed csv report.
Quite a bit counter-intuitive considering what the mail tells you to do.
I use this on a fairly regular basis, and I've never had a problem since they instituted the geekmail notifications. For me the link in the geekmail has always resulted in a download. I'll give it a try and see how it works today, then report back.
 Just did it twice, once for 'All' and once of 'Owned', and it worked perfectly in both cases. Clicking the link in the geekmail resulted in immediate downloads. I should note that this was done using Chrome on a Win7 machine, and that I have a fairly extensive collection (the 'Owned' csv file was 480kb and 'All' was 683kb).