Yeah as I mentioned in my post, getting the URL from the API is straightforward.
I am able to download the filmstrip image through the requests library but I still need to construct my own session cookie and authentication. Which has been especially annoying as I have found that some filmstrips are hosted on shotgun.vfxcompany.com and other on shotgun-api.vfxcompany.com, and each site requires a different session cookie.
I was just looking for a way to directly download the image and avoid the hassle, similar to how the API has Shotgun.download_attachment