The list of supported (and included by default) extensions can be found here: https://learn.microsoft.com/en-us/microsoft-365/security/office-365-security/anti-malware-protection-about?view=o365-worldwide#anti-malware-policies
If you want to add to the list, you can do so by editing the policy configuration in the UI or via PowerShell. In addition, you can also consider mail flow rules: https://learn.microsoft.com/en-us/exchange/security-and-compliance/mail-flow-rules/common-attachment-blocking-scenarios