Hi, and welcome.
Your code snippet is simple enough not to require a reproducible example, called a reprex, but it's good practice for more complicated issues.
The connection problem isn't limited to Catalina; it also occurs on Ubuntu 19.10. As you noted, the rds file is fine, which I confirmed by downloading and opening it with read, readRDS and readr::read_rds and to see, among others " model is based on the words and valence ratings".
I did notice that the parent directory is HTTP 413, which may or may not be relevant.
I did succeed on Catalina with
rio::import("https://oscarkjell.se/text_models/trained_anew1999_valence.rds")
although it was slow and produced a warning message.