Do you download the msg file over HTTP URL? If so, I can reproduce the issue. It works with 123.0.2420.x version but doesn't work in 124 version.
This is an intentional change aligned to the Chromium "HTTPS by default" initiative to provide enhanced security. As a workaround, you could enable this policy InsecureContentAllowedForUrls and add the URL then the warnings won't be displayed during downloads from the URL.
But to create a more secure environment, I suggest that consider upgrading the relevant site to HTTPS afterwards.
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Regards,
Yu Zhou