Windows Defender SmartScreen helps protect systems from programs downloaded from the internet that may be malicious. Enabling SmartScreen can block potentially malicious programs or warn users.
To fix this configure the policy value for Computer Configuration >> Administrative Templates >> Windows Components >> File Explorer >> "Configure Windows Defender SmartScreen" to "Enabled" with either option "Warn" or "Warn and prevent bypass" selected.
Windows 2019 includes duplicate policies for this setting. It can also be configured under Computer Configuration >> Administrative Templates >> Windows Components >> Windows Defender SmartScreen >> Explorer.
STIG: Server 2019: https://www.stigviewer.com/stig/windows_server_2019/2020-06-15/finding/V-93411
Server 2016: https://www.stigviewer.com/stig/microsoft_windows_server_2016/2022-03-01/finding/V-224940