thanks for your feedback. Using a relative URL isn't as easy as it sounds, the .spl download goes through the Splunk Management Port, 8089 by default. This would not be available from the Splunk Web Port, 8000 by default, via a relative URL. There's also the port to worry about, would you even be able to access 8089 from the outside? I don't see a need to do so in most common scenarios, so security-wise you shouldn't have the port open to the world.
You're seeing a fully qualified domain name, that's not my doing though - I'm using whatever you've set under Settings -> Server Settings -> General Settings as the Server Name for Splunk. Set that to something resolvable and everything should be peachy. Keep in mind that this change would obviously affect the entire server.