Export to Excel (built-in SharePoint Online list feature), a bad user experience

User wants to export the SharePoint list to Excel. In a SharePoint Online list, the user have a button/dropdown to export (Export to Excel or Export to CSV).

When the user select Export to Excel a file, query.iqy will be downloaded. This file will be marked as This file came from another computer and might be blocked to help protect this computer.

This results in the pop-up when opened in Excel; We've disabled this file's data connection because it's coming from an untrusted location. If you trust the file's source, please move it to a secure folder, and open it again. (the file is not loaded)

If the user Unblock the file (in file explorer), the user gets the following pop-up when opened in Excel; Microsoft Office has identified a potential security concern. Data connections have been blocked. If you choose to enable data connections, your computer may no longer be secure. Do not enable this content unless you trus the source of this file. (User is given the choice to Enable or Disable)

When the user select Enable, the user have the data from the SharePoint list imported into a Excel workbook.

How can I improve the user experience without sacrificing security?

 - Trust files in Downloads folder is a no go