The name of the policy might be a clue - when you export and download the policy from ASM it is converted from mySQL database on ASM into a file and ":" character is illegal in file names. What version of BIG-IP are you using? in version 12.1 the export works fine and the invalid characters are converted into underscore "_" so policy name abc.test.com:1234 becomes abc.text.com_1234
a reminder that you cannot use the following special characters in file names (on Windows)
\ / : * ? | < > "
Avoid using the above characters for any object names or file names.
Also check for any errors in /var/log/asm and post here and of course - do raise a Support case with F5!