I'm curious about this as well. While it's all very neat and improves the user experience when everything is working, what happens if things break? If you can't connect to S3 or something, but you've already sent HTTP headers for the ZIP download, what do you do? Throw an error message in a text file the ZIP? Send the user an empty ZIP? A corrupted ZIP, as chubot mentions, seems like it would be the worst-case scenario in terms of UX.
I feel like from a UX perspective, it'd be ideal to be able to give some friendly error message to at least acknowledge that the failure is on the server end. A page that says, "Sorry, we're having trouble accessing your files right now. Please try again in a minute.," seems more user-friendly to me than a download that suddenly fails with no explanation. Nevertheless, this is very cool.
