As documented here:
https://www.scala-lang.org/2020/06/29/one-click-install.html
Fails with Error downloading gz+https://github.com/coursier/coursier/releases/download/v2.1.0-M5-18-gfebf9838c/cs-x86_64-pc-linux.gz. It seems the client is unable to handle gzipped content? This is described in an issue on the coursier repo.
The fix for me was to run:
curl -fL https://github.com/coursier/launchers/raw/master/cs-x86_64-pc-linux.gz | gzip -d > cs
chmod +x cs
./cs setup
But these instructions are Linux specific.