There are always a few images where the links are broken or the site is down, etc. (especially in a massive plugin like Magic). The trouble with the "download all missing images button" is that it was designed for easily managable, small sets of cards and can not handle the massive task thrown at it by the Magic plugin.
You don't even need the button. As you use cards, they are automatically downloaded.If you are really psyched up about downloading a certain set, you can go to the Deck Editor, turn on the set filter for your set, click the first card and then hold the down button until you reach the last card. This will tell Lackey to DL all the cards in that set.