Our Redirection feature is for doing just that -- redirecting buyers after checkout to the "secret" URL of some premium online content, such as a members-only Web page, or a pay-per-view video, etc.
Redirection is not intended nor suitable for serving file downloads, not only for the very reasons you described but also because the Redirection URL is exposed to buyers who could then share that URL with others, who could then access that URL directly to download the file without paying you.
To sell a file download, you would enable the product's Single File Download (rather than Redirection) setting, then use the Upload Product File button to provide the file we should issue to buyers. When you are adding a new product, the Upload button appears on the button-codes screen after you Submit settings for the new product; when you are editing an existing product, the Upload button appears on the first screen of the product's settings, and if you had previously uploaded a file for the product, the button would say Overwrite Product File (so you can replace the old file with an updated version).
If you wish to keep the file stored on your own server, our digital-product plans of $18/mo or higher would include our Remotely Hosted Downloads feature, which allows you to configure Single File Download products with a Remote Product File URL to the file's location on your server, rather than uploading the file to use space on our server. Files stored remotely on your own server would not count against your plan's storage allocation on our server.
Regardless of whether you upload the file to us or host it yourself remotely, the download links we issue would be unique to each buyer, cloaking the "real" URL of the file, and expire after the number of attempts/hours (whichever comes first) that you specify in the product's settings.