Updated July 20, 2022:
We’re resuming the rollout of this change in Current Channel. Based on our review of customer feedback, we’ve made updates to both our end user and our IT admin documentation...
Updated Jul 20, 2022
Version 9.0
Blog Post
Kellie_msft I hope you're working with our Teams colleagues to prepare them for this, so they won't make problems for you? 
Testing I have done shows that all files downloaded through the Teams Desktop Client, be it ODB from a chat, or SPO from a Team's channel, get the Mark of the Web (MOTW) irrespective! Now that would be expected when logged into a 3rd party tenant and downloading a file, but not when downloading files from one's own corporate tenant, but unfortunately this seems to be the case! If the macro change was to go ahead before Teams is "fixed" I can foresee a bumpy road ahead and many disgruntled enterprise users.
FYI, access Teams via the web browser, and the MOTW is absent, as expected for files downloaded from our corporate tenant (we use ODB and SPO vanity URLs btw), and present for files downloaded from 3rd party tenants.
I would call this "expected" behaviour.