Piracy: ꜱᴀɪʟ ᴛʜᴇ ʜɪɢʜ ꜱᴇᴀꜱ

I just tried opening a video I had gotten from Pahe many years ago, from an external USB drive, and have now gotten a Windows Security warning, 'Do you want to open this file?' (see top part of attached image)

I moved the file to another folder and renamed it from the original title (it was an episode of 'The Blacklist') to 'Movie.mkv and still get the warning. All files in the folder (22 of them) give this warning, plus some other videos I got from Pahe in the past. Clicking the checkbox 'always ask before opening this file' does not keep other files in the same folder from also showing the warning. I tried changing the default video player to PotPlayer, same warning comes up.

The only thing I can think of is that in the metadata of the file (bottom part of image), under 'Encoded By', it shows a URL, 'pahe (DOT) in and pahe (DOT) li'

Is there any way this could actually be a security issue? If not, is there a way to 'green light' my MKV files on my local drives?

Thanks in advance