In Windows, remote cache could never be fetched due to the DOS style path which uses backslashes.
For example, tracing Mathlib results in https://dl.fbaipublicfiles.com/lean-dojo\leanprover-community-mathlib4-29dcec074de168ac2bf835a77ef68bbe069194c5.tar.gz at cache.py:60, which urllib cannot recognize as a valid url due to the backslash.
A possible fix could be using pathlib instead of os.path.