This is what was causing my issue:
A while ago, I added this code to prevent security file message (see IE10 - how to prevent "Your current security settings do not allow this file to be downloaded" popup from appearing?)
 and this is what prevented the event from firing
this.WB.Loaded += (s, e) =>
            {
                // get the underlying WebBrowser ActiveX object;
                // this code depends on SHDocVw.dll COM interop assembly,
                // generate SHDocVw.dll: "tlbimp.exe ieframe.dll",
                // and add as a reference to the project
                var activeX = this.WB.GetType().InvokeMember("ActiveXInstance",
                    BindingFlags.GetProperty | BindingFlags.Instance | BindingFlags.NonPublic,
                    null, this.WB, new object[] { }) as SHDocVw.WebBrowser;
                // now we can handle previously inaccessible WB events 
                activeX.FileDownload += activeX_FileDownload;
            };