That one file should be io-2.4.7.tar.gz (or whatever it's called) appearing after having been successfully downloaded, then disappearing after install is complete. So the automatic downloading appears to work. The pkg list image also shows that io version 2.4.7 is installed. So pkg install works.
Some warnings during install is normal, for some packages, especially on windows. This is unfortunate but is just the way the system works sometimes. an error would be different as it would stop tge unstall. This one could stem from the fact that you're reinstalling a package that has already been successfully installed.
More importantly, does the package work? Load the package and try some of the functions. (pkg load io)