App Store download disappear after the installation
I took @Tetsujin comment and solved this by deleting all files related to the App I was trying to install. EasyFind is an easy way to find hidden files. Otherwise you can use the search in the finder, but that requires several steps.

Then I deleted all library files and the App itself was sitting in some ApplicationSupport directory, together with a Zip file. I deleted the whole App folder (Kaleidoscope in my case) which resided inside of the ApplicationSupport directory.