What firmware version is your EX2 Ultra running? OS5 (v5.x firmware) or OS3 (v2.x firmware)?
If one is running the older OS3 firmware there was an installable 3rd party app called HTTP Downloads App that could be setup to download from a URL. However the HTTP Downloads App IS NOT supported by OS5.
My Cloud OS 3: Configure HTTP Downloads App
https://support-en.wd.com/app/answers/detailweb/a_id/25489
If using OS5 v5.x firmware then search through or post in the dedicated OS5 subforum for the EX Series of devices as this subforum deals with OS3 devices and firmware. One may have to see if any OS5 3rd party apps support URL downloading. Don’t know if Transmission app (a Bittorrent client) or the FTP Download app has the capability.
https://community.wd.com/c/os5/my-cloud-ex-series/255
My Cloud OS 5: 3rd Party Apps Matrix
https://support-en.wd.com/app/answers/detailweb/a_id/29498
Otherwise one may have to go the Docker route (install Docker to the My Cloud OS5 device) or use Wget from SSH command line. For example if one searches the EX Series subforum for HTTP Downloads App they’ll find several posts including the following:
https://community.wd.com/search?q=HTTP%20download%20app%20%23os5%3Amy-cloud-ex-series
(Solved using jDownloader) HTTP download - my solution inside
https://community.wd.com/t/solved-using-jdownloader-http-download-my-solution-inside/260212
