Não é um problema do wget, é o FlashGot. De seu changelog:
[Unix] Turned the "Press any key to exit..." prompt
(which was a lie) into "Press [ENTER] to quit..."
The flashgot.term.autoClose about:config preference
can be set to either to -1 (default) to prompt, 0
to close the terminal immediately, or an integer
number of seconds to wait before closing