Well, probably, corrupted data has been downloaded and identified... and been deleted (repeatedly). This is not to annoy you, but to protect you from broken files.
If you check the download progress bar, you should be able to see a tiny red line where the now deleted parts were (in contrary to the green line where downloaded and verified parts are). Shareaza will repeat this download and check operation, until it gets valid data from the host it downloads from. If this weren't the case, the corrupted data could make the entire file useless after download completion, which is certainly not a desirable result