I would describe it as a behavior of IE or of the Acrobat plugin for IE. It is definitely not something in the control of mojoportal.
download.aspx is part of the download url of the file but we are passing the actual pdf file name in the content-disposition header in the response of the download.aspx page so the pdf/acrobat plugin should be able to save the file with its real name and as you say it does so in other web browsers.
The only thing we do different with pdf is that we don't specify it as "attachment" in the content disposition header which is why it opens in the browser plugin directly instead of just downloading. Once it is loaded in the pdf plugin of the browser it is up to the plugin what it does from there.
If one wanted to make pdf be handled as attachments like other file types one could add this in user.config:
<add key="SharedFiles:TreatPdfAsAttachment" value="true" />
then clicking the link should prompt to download rather than opening directly in the pdf plugin of the web browser.