Computer Configuration > Administrative Templates > Microsoft Edge - Default Settings (users can override) > Downloads
Both
HKLM\Software\Policies\Microsoft\Edge\Recommended
Enables warnings when potentially dangerous content is downloaded over HTTP. If you enable or don't configure this policy, when a user tries to download potentially dangerous content from an HTTP site, the user will receive a UI warning, such as "Insecure download blocked." The user will still have an option to proceed and download the item. If you disable this policy, the warnings for insecure downloads will be suppressed.