Not sure about Win 11 or OneDrive, but the flag is exposed by the OS in Win 10 like this:

It seems odd to have to check it to unblock it, but the model is opt-in to something you might want to be careful about. JMP attempts to unblock it for you:

And the offer from the OS disappears.

If JMP is not successful, I'll guess OneDrive is part of the issue.
The flag is set by the browser during the download when the browser notices the file is coming from a location that is not marked as trusted by your computer.
Craige