You can select a page that is displayed when the user has no access to a file. To do this you will have to create a new page, we recommend naming it: No Access Page, and add the [dlm_no_access] shortcode to the page.
Once you do this go to Downloads > Settings > Advanced > Pages Setup > No access page > and select the page you just created.
How to change the no access message displayed
If you want to change or delete the message that is displayed when the visitor has no access to a file go to Downloads > Settings > Advanced > Access > No access message > replace or remove the text there.