This is a Chrome specific setting. There is not an issue with the smartconsole download.
Chrome sees this as a "mixed-content" download and is alerting you of this concern. Since the site is https and the download is http, Chrome flags this as a concern and requires the user take an additional step to verify. Other links (ISOs or .tgz) did not require an additional prompt. As an additional test, I copied the download link into a new tab and Chrome accepted the request and download SmartConsole without prompting.
Google's chromium team posted the following blog about this change in February.
- https://blog.chromium.org/2020/02/protecting-users-from-insecure.html