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OK - I found a workaround until someone with a brain fixes this issue at Microsoft. BTW, I'm using obviously aggressive language, hopping that this will trigger "something" on Microsoft's controls and mid-level managers address the issue!
The issue was happening with files inside "OneDrive" - somehow, Microsoft's new security "features" are considering OneDrive folders "a hybrid between a web-location and a folder". So it doesn't see the file as protected but also doesn't allow to run it. Adding OneDrive folders to "Trusted Locations" doesn't help either - again, the folder inside OneDrive are not seen as "local", so it's never considered trusted.
However, if you (i) move the file out of OneDrive - to a local folder, and (ii) add such folder to a Trusted Location, then Excel can open and run the macros.
Here is a catch however: the Desktop on Windows 11 is inside OneDrive. So you would have to move the file to let's say the "C:" location. On Windows 10 however, you can use your Desktop, as it is outside OneDrive.
So let's wait for the incompetent people at Microsoft to realize this (or not) and fix the issue...
(*) See here that Microsoft had a piece on the "improvement" in February: https://answers.microsoft.com/en-us/msoffice/forum/all/how-to-unblock-a-macros-document/cb242e3d-e1d0-4289-8b7c-9a1c06f27061?rtAction=1682083594728