From my searches, Windows classifies certain files as unsafe downloads and attachments by identifying the files type and the security settings for each file. For doing this, it uses the Attachment Manager in Windows, which is a service that gets activated whenever you receive an e-mail message with an attachment and from unsafe files that you might save from the Internet.
You can disable the Attachment Manager using Windows Registry, refer to this article: https://www.technewstoday.com/this-file-came-from-another-computer-and-might-be-blocked/
(Note: Since the web site is not hosted by Microsoft, the link may change without notice. Microsoft does not guarantee the accuracy of this information.)
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