[generic] Add a test case for direct links with broken HEAD (#4032)

test/test_download.py

@@ -8,6 +8,7 @@
 
 from test.helper import (
     assertGreaterEqual,
+    expect_warnings,
     get_params,
     gettestcases,
     expect_info_dict,
@@ -100,6 +101,7 @@ def _hook(status):
             if status['status'] == 'finished':
                 finished_hook_called.add(status['filename'])
         ydl.add_progress_hook(_hook)
+        expect_warnings(ydl, test_case.get('expected_warnings', []))
 
         def get_tc_filename(tc):
             return tc.get('file') or ydl.prepare_filename(tc.get('info_dict', {}))