I tried to use the bundled curl binary to simplify the download function and in the process get rid of this warning:

Note that this function relies on the availability of external tools such as curl, wget or fetch to download the file and is provided for convenience. For production use or situations in which more options are needed, please use a package that provides the desired functionality instead.

But the bundled curl fails on OSX with the following error message:

dyld: Library not loaded: @rpath/libssh2.dylib
  Referenced from: /Users/helge/projects/julia/usr/bin/../tools/curl
  Reason: image not found