I tried with the same board selected, and it was ok for me, I was able to download the library.
So, after having click on “Download target firmware” have you seen the “License agreement” dialog ?
If yes, after having accept and click ok, have you see anything at the bottom of the “Project Firmware configuration” dialog ?
a downloading progress bar message ? (see the attach screen
a extracting progress bar message ?
Can you verify if you have anything on c:\Users\user_name\AppData\Roaming\Ac6\SW4STM32\firmwares ?
you must have firstly the zip : stsw-stm32143.zip and after the extract you must have a folder : STM32_Nucleo_FW_V1.2.1