Yes, it is a real shame that download resume is not supported.  This is 2015 (going on 2016) and download resume has been around for well over a decade (maybe two decades). Most sites that host files to download are smart enough to have download resume.

This feature is not purely for user convenience. It's a no-brainer for most sites because it saves them money.  They have to pay for bandwidth. And how much bandwidth gets wasted when users repeatedly try to re-download the same large files over and over again until it finally succeeds?

BTW: This issue does not just concern dial-up users. This is a big problem for anyone with a slow connection, including low-end DSL / broadband (like I'm stuck with).