Agent Commands Download and Run is hit or miss.

Agent Commands Download and Run is hit or miss. On some machines it will download the file, an exe and run it no issue. On other machines it just doesn't work. 
 
1) where does the file get downloaded  so I can verify that part is working?
2) is there any log on the client to see what is going on?
3) any detailed information on this feature is greatly appericated.
 
Thanks,
Brad