Microsoft Edge is blocking downloads from our own sharepoint site

We have an issue in which Microsoft Edge is blocking msg files to download.

The msg files are place on a share onedrive location.

The message we get is couldn't download - blocked

When we rightclick on the blocked download we get the option to copy the link and we paste that copied link the download succeeds.
This is happening since a couple of weeks. 

If we turn off smartscreen in  Edge the download works as expected. Whitelisting the location with smartscreenallowlistdomains doesn't help.