In working on this with Microsoft support, we confirmed that this is a problem for enterprise or academic tenants (but not their @outlook.com clients) with their default anti-malware filter. It will block most EPUB files.
This is because they have a bug/deficiency in that their default blocked files include .JAR files, and many (not all) EPUB files have a .JAR file inside them. An EPUB is effectively a zipped container with a bunch of HTML and related files. These files will often include a .JAR file, which Exchange Online flags by default as malware.
To fix this, if you want to receive EPUB files at your tenant, be sure to disable the .JAR filter in the Anti-malware filter.