When you're using ftp interactively, at the 'ftp>' prompt, you can optionally supply a local file name to the 'get' command,

  get remote-file [local-file]

and that local-file can begin with a '|' to indicate that you want the remote file piped to a command, e.g.

  get README |less

Apparently this handling of the interactive local file name was mistakenly applied to local files names derived from remote file names after an HTTP redirect from the command line.

(Incidentally the interactive modes of ftp and telnet, with their 'command>' prompts, are the last vestiges in unix of TENEX on the ARPANET.)