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Hi @Noun
This is the expected behavior when DownloadRestrictions is set to “BlockPotentiallyDangerousDownloads(2)”. Configure ExemptFileTypeDownloadWarnings doesn't help because
Files with file type extensions specified for domains identified by this policy will still be subject to non-file type extension-based security warnings such as mixed-content download warnings and Microsoft Defender SmartScreen warnings.
There's no policy which can whitelist certain file types when you set DownloadRestrictions to 2. If you want to download exe files, we recommend configuring DownloadRestrictions to “BlockDangerousDownloads(1)”.
If you can't change DownloadRestrictions setting, we suggest that you can submit a feature request to Edge team by pressing Alt+Shift+I in Edge.
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Regards,
Yu Zhou