The SmartScreen Filter warns the user when running unrecognized programs or files downloaded from the internet. When you download files using Microsoft Edge, the file download is blocked if the source URL is blacklisted or the downloaded program fails the application reputation check by Microsoft SmartScreen filter.
However, Edge Chromium allows users to download the unsafe file regardless of the warning, by clicking on the “Keep” option in the Downloads flyout.

This article explains how to prevent users from downloading the ‘unsafe’ file on Microsoft Edge Chromium.Read more