'filename' parameter not working
From semantic-mediawiki.org
Fragment of a discussion from Help talk:CSV format
Sorry, didn't realize the ask wouldn't display...
{{#ask:[[Category:Students]]|?Has Credits=Credits earned|?Has Major=Majors|?Has Grad Term=Due to graduate|headers=plain|format=csv|filename=majors.csv}}
I think this was indeed an issue with SMW 1.8 and lower. However, I believe that this is working with the recent version. You could verify on http://sandbox.semantic-mediawiki.org/ to be sure.
Now I know why this appeard so familiar to me. Tested this end of December 2015: CSV filename test. Yes it is working now so upgrading the software is your friend.