Looking into the downloads from the website, it seems the files are actually there, but the names have been changed a little. A date has been added at the end of every name.
So ADNIMERGE.csv should be something like ADNIMERGE_20Oct_2023.csv and so on with all the files you have a problem with. A simple renaming works.
It solves the problem on my side ! You may need to rename a few other files if you try to convert PET data for instance.
Do tell me if it works for you.