An error occurs when you execute an FTP command on Windows and try to obtain (download) a file with mget.
This phenomenon is by design.
Glob (wildcard file specification) by NLST command is not executed. If mget is executed from the FTP command on Windows, the NLST command will be executed internally, so it will not work.
How the file list is obtained when mget is executed depends on the implementation of the FTP client software, so mget may work depending on the FTP client software.
Therefore, please use other FTP client software or try to obtain the file only with the get command.