@Israel Krakovski, Thanks for posting in Q&A. Based on my researching, there's no built-in policy in Intune to block whatsapp downloading. But we can try to block the app to run via WDAC or AppLocker policy.
We can see more details in the following link:
https://mikemdm.de/2023/06/18/deploy-a-basic-wdac-policy-with-intune-as-managed-installer/
Note: Non-Microsoft link, just for the reference.
Hope the above information can help.
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