Warning when opening Excel document from a file share

We’re experiencing a strange issue in Excel.

When the user opens an Excel document from an SMB share, they get a warning that the file can contain a virus.

I do the following steps to reproduce it:

* In Windows 10, open Explorer. * Go to a file share, e.g. `\\fs20.contoso.local\BI\2021\` * In the folder *2021* double-click on a .xlsx file. * After that step I noticed that the opening of the file is not instantaneous. There was a noticeable delay before I would see the contents of the Excel file. * Then the user get this warning: *PROTECTED VIEW – Be careful - files from the Internet can contain viruses. Unless you need to edit, it's safer to stay in Protected View.*

Can anyone explain what’s happening here? Why would Excel warn about “files from the Internet” when they open a file from an SMB share on their own Active Directory domain?