My recommendation is to set this in the Local Group Policy. This will ensure those settings stay configured. An added benefit is if you have separate admin and regular user accounts, this will also configure those settings for all accounts that log into that machine.
Open Command Prompt, PowerShell, or Terminal as an administrator, type gpedit, and then press Enter. Or use WIndows+R, type in gpedit, and then press enter. Or search for gpedit and open it from search. You will need to be logged in as your administrator account for the last two options though.
Under Computer Configuration, expand Administrative Templates > Windows Components
Scroll down until you see Windows Defender SmartScreen, expand that folder and then click on Enhanced Phishing Protection.
In the middle pane, set the options you wish.
Justin