I do believe I would like to see people be able to download and run the wallet without jumping through all the hoops of downloading the blockchain and then making sure they have a program to open the blockchain file and pop it into the folder. Just my opinion.
Also, for someone downloading for the first time, that error message that pops up because no folder exists yet can be frightening.
Instead, the message should be suppressed and replaced with another, kindly requesting that the wallet be restarted if it is the first time running.
And before that, perhaps ask if the user would like to download the blockchain to get up and running faster.
Then the wallet should without other interaction, find the zipped blockchain online and extract it in the right place. Then restart.
The obvious problem is that if many people do that, the website traffic will be too much. And hosting the file in dedicated server would probably be expensive