Not the details, but the server got broken somehow a while back, Tomas rebuilt it but it hasn't been the same since. There are other features that also don't work correctly.
Suggest that you get slax basic, the zip file version, and separately download all the modules you want.
Unzip the zip file [maybe it's a tar file?] into a subdirectory, where you will find subdirs \slax and \boot. Under \slax you will find \modules; copy your downloaded xxx.lzm modules into that subdir.
When done, change to \slax subdir and run make_iso.bat [or make_iso.sh if doing this from linux] to create a new iso with your added modules. This is a little more work to get the same result.
@ Andy ... to run from usb, you don't have to use make_iso -- just copy any modules you want to add to /slax/modules on the usbstick. You can do that at any time, then just reboot to add them to the running system.
From ground zero, you'd
-- format the stick, probably fat32 (not ntfs)
-- copy /slax and /boot subdirs to the stick
-- cd to /boot on the stick and run either bootinst.bat or bootinst.sh to make the stick bootable. You'll probably have to be administrator to get the OS to allow you to write to the stick's mbr sector.
The only people who need make_iso are those planning to burn to a new cdr.