Downloads perfectly fine on mine, you sure you using Edge Beta and not Firefox or something?
EDIT
Would help if you posted a screenshot…
Ah, you can just allow at every step, and report it as safe, it’s because it is both a new executable and hosted on AWS, a notoriously insecure server platform.
Standard Edge also warns of this, frankly if other ‘browsers’ don’t warn people of this security warning, they’re not worth running.