Sorry,YandexDNS Safe is blocking your link.I'll try it tomorrow with different DNS.
It looks like File Shield is not working since you were able to download the file.
It is past midnight in Croatia and I'm going to bed.
Here there is another issue as can be seen from the OPs first image the web shield is detecting a PUP - unless the file system shield settings are also set to scan for PUPs (off by default) ? then it won't alert.
@Jomm
I can confirm your findings.I was able to download PUP file after Web Shield warning.
Many thanks.
OK, reading further into this problem, the web shield issues an abort command to try to stop the download completing.
Unfortunately some browsers don't obey that and see it as a failed download and continue to completion.