Yes, the workaround is subscribing the asset first and then downloading it in a second run. Alternatively you can subscribe it in the broker platform. But the subscription bug is anyway fixed in the latest version, 1.13, that you should have. I've also added a step by step description for downloading prices to the manual.

As to the question if it is recommended to delete a file from the history and then download it again - normally not, in the interest of preserving Internet bandwidth. The files in the zip are from the same data and are not processed in any way, so I don't think downloading them again will help you with whatever you want to do.