Those generally are there because someone has figured out a way to atack your computer. Like, get someome playing a Web game and slamming enter and then pop up a dialog right in the middle so that you inadvertently confirm doing something unpleasant to your computer. The secure setting is probably the right default for most users.
https://superuser.com/questions/1023643/firefox-disable-delay-on-download-dialog-buttons
Go to about:config (type into address bar) and set security.dialog_enable_delay setting to 0.
Note: disabling this delay may in theory open you to some pretty non-standard security attacks described in this article (as Otiel pointed out), but I wouldn't lose sleep about it.
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