To reproduce: steam is launched via start menu search by

1. Pressing the start key on the keyboard
2. Start typing for the letters "steam"
3. Once search results shows "best match" highlighted result for Steam app, hit enter key
4. "Open file - Security Warning" shows up [ screenshot: https://imgur.com/MzbPoHz ]

Steam install on drive letter S: [a veracrypt encrypted drive container]
Active user running steam is a non-adminstrator account
Windows 11x64 24H2

Direct launching Steam.exe from file location [by navigating to folder S:\Steam using Windows Explorer] does not trigger the Security Warning. Steam launches like normal here, just like in Windows 10

Creating a shortcut to desktop to said Steam.exe location, and launching from there triggers the same warning.