Not losing your mind - I had the same experience - from Adobe support:
The recent new build update still does not have the functionality to print or download a PDF file from a web object directly within the slide. It was available in version 12.5. We have already logged a bug ID CPNXT-25121, and our product team is actively investigating it. The issue is expected to be addressed in a future release of Adobe Captivate.
Please feel free to reach out if you have further questions.