I can reproduce when downloading https://github.com/yt-dlp/yt-dlp/releases/download/2026.03.1.... But it did provide a line of explanation:

Dangerous download blocked yt-dlp_win_x86.zip is not commonly downloaded and may be dangerous. [Discard] [Keep]

How useful is that explanation, though? All new software releases (even Chrome itself) are not commonly downloaded, until they are.