DM51673 If the “Launching applications and unsafe files” setting is set to Prompt (for a zone under Control Panel > Internet Options > Security > Custom level), then the Mark of the Web attribute is set on the file. “Prompt” is the default setting for “Launching applications and unsafe files” for both the “Internet” zone and the “Trusted sites” zone.
But we’re only blocking macros (by default) from files that are tagged as being from the “Internet” zone. If the file is tagged as being from the “Trusted sites zone” then macros won’t be blocked by default. For those files, the VBA macro notification settings in the Trust Center will apply.
So that’s why one of the options we list in the admin article is to assign the OneDrive and SharePoint (which includes Teams) URLs to the “Trusted sites” zone if you don’t want macros blocked by default in files downloaded from those locations.