Is this really okey?
No. Sometimes the users don't check the target URL. Maybe they're on a mobile connection and don't want to download anything. Maybe they're not even on a system where they could make use of such a file (e.g. a Mac user suddenly downloading Windows executables).
It would be better if the link was to a webpage describing what the file contains (including licenses) and a download link.
Absolutely. Give the readers some context and tell them what they can expect on the page. Also, don't forget that direct links can break easily.
Take this post as an example. It used to contain the direct download link to the Java development binaries, which always became outdated as soon as a new version would be released. I changed the post to contain the link to the actual download page, along with download instructions. Now the post is fixed once and for all and doesn't need any updates.
Should the post be flagged for Moderator attention or what?
If you can change the link to a less direct one (e.g. the immediate download page), just edit the post accordingly, just like in the example above.
Also – in cases of software downloads – if there is a direct download link to a third party hosting site (like Softpedia), you could exchange it for a link pointing to the original developer website.