I can see that the problem, at least for me, is that the screen saver didn't finish downloading within 1 hour. The download automatically times out at that point. See the console error in my next comment. I've been able to download other, smaller screen savers within an hour and then successfully use them. I confirmed their size by looking where they're stored, at /Library/Application Support/com.apple.idleassetsd/Customer/4KSDR240FPS

See the transaction_duration_ms value of 1 hour in milliseconds. default 15:04:24.508136-0700 idleassetsd Task <2C99A52D-C91F-4A82-85AC-2DA8B31A3D25>.<4> summary for task failure {transaction_duration_ms=3600196, response_status=200, connection=13, protocol="http/1.1", domain_lookup_duration_ms=33, connect_duration_ms=122, secure_connection_duration_ms=89, private_relay=false, request_start_ms=167, request_duration_ms=0, response_start_ms=194, response_duration_ms=0...