Possible BUG - Download restriction

Hi,

I did setup conditional access to block download content from an unknown location. Which is working (almost) perfectly.

It blocks the download if directly somebody tries to download the file.

The problem with the password-protected files. It can't open online just in the desktop app. BUT when it's open it's possible to save anywhere.

Is this a bug or how can I fix it?

Thanks for your help in advance.