You can now use an external URL link when adding a download to the site. 

This is useful if you have very big files which we cannot upload to the server, and will protect performance if they are viewed simultaneously by many people. It also means you can point to a PDF elsewhere on the web: for example, a google doc or PDF on another website.

Go to Add Download > instead of selecting the download file enter the full http URL in the field to its right. Complete and save the rest of the information.