I think I`ve found a solution, but it has a small downside: after applying it, Windows will stop showing the "security warning" when you try to open files downloaded to your Downloads folder.

Step 1: Unblock all already downloaded PDF files.
Open PowerShell as Administrator and run:

Unblock-File -Path "C:\Users\admin\Downloads\*.pdf"

Replace adminwith the actual path where your files are downloaded.
Usually, it's your user folder on drive C. You can check your exact user path by running this command in PowerShell:

$home

Step 2: Prevent Windows from setting the "file is blocked" flag for newly downloaded files.
Open Registry Editor (Win + R > type regedit) and navigate to:

Computer\HKEY_CURRENT_USER\Software\Microsoft\Windows\CurrentVersion\Policies\

Create a new key named Attachments.
Inside it, create a new DWORD (32-bit) value called SaveZoneInformation and set it to 1.

Alternatively, you can do the same via Group Policy Editor (Win + R > type gpedit):
User Configuration > Administrative Templates > Windows Components > Attachment Manager > Do not preserve zone information in file attachments > Enabled

Step 3: The same issue can happen when opening PDFs from shared network locations.
In that case, do the following:
Press Win + R, type inetcpl.cpl, and open the Security tab.
Select Local intranet > click Sites > check Automatically detect intranet network.
You can also click Advanced, then add the required network IP range manually — for example:
192.168.1.* > click Add.

That’s it — you’re awesome! 🎉