Issue with DOCX download if SmartScreen is disabled

If I disable https://docs.microsoft.com/en-us/DeployEdge/microsoft-edge-policies#smartscreenenabled and click on a DOCX hyperlink (on a sharepoint wiki), there is no download prompt and DOCX is downloaded invisible in the background (no entry in download bar) and DOCX doesn't open. Not good.

If the GPO setting is not disabled, there is a download prompt, if I click on the DOCX hyperlink.

Chrome works like expected (regular entry in download bar).