There was a prior issue that logged you out of Galaxy when downloading data from the UCSC Table Browser. It wasn’t a consistent fail and we believe it was related to query-quotas at UCSC, or session identifiers in Galaxy (how UCSC knows where to download the data). Logging into Galaxy will add the newly downloaded data into a new history in your account, and you will need to consolidate datasets between histories. Copies of datasets in your own account do not consume extra quota space, but you can still purge the histories you don’t need once you have a copy of the data in the history you want to work in.
Inconvenient, but we don’t have another solution right now. This is the open ticket: Redirect from data sources sometimes loses session cookies · Issue #11374 · galaxyproject/galaxy · GitHub