This looks like a problem with the connection to the server.
Try to download it after a some time, or use a another elevation provider.

Only terrain and texture, no buildings, No roads, Rivers etc altough I have ticked these boxes.

Whats causing the error, looks like related to Loading Elevation Maps ?

Unity 5.3.5 free edition, Real world terrain version 2.6.019

Can you assists please.

System.Net.WebException: Error: ConnectFailure (A connection attempt failed because the connected party did not properly respond after a period of time, or established connection failed because connected host has failed to respond.
) ---> System.Net.Sockets.SocketException: A connection attempt failed because the connected party did not properly respond after a period of time, or established connection failed because connected host has failed to respond.

  at System.Net.Sockets.Socket.Connect (System.Net.EndPoint remoteEP, Boolean requireSocketPolicy) [0x00000] in <filename unknown>:0
  at System.Net.WebConnection.Connect (System.Net.HttpWebRequest request) [0x00000] in <filename unknown>:0
  --- End of inner exception stack trace ---
  at System.Net.HttpWebRequest.EndGetResponse (IAsyncResult asyncResult) [0x00000] in <filename unknown>:0
  at System.Net.HttpWebRequest.GetResponse () [0x00000] in <filename unknown>:0
  at System.Net.WebClient.GetWebResponse (System.Net.WebRequest request) [0x00000] in <filename unknown>:0
  at System.Net.WebClient.DownloadDataCore (System.Uri address, System.Object userToken) [0x00000] in <filename unknown>:0
UnityEngine.Debug:Log(Object)
RealWorldTerrainDownloaderItem:OnDownloadDataComplete(Object, DownloadDataCompletedEventArgs) (at Assets/Infinity Code/Real World Terrain/Scripts/Editor/RealWorldTerrainDownloader.cs:292)
System.Net.WebClient:<DownloadDataAsync>m__D(Object)