Cman said:
There is a tool you can use to selectively unblock files. The tool is called Streams and can be downloaded here:

Streams

Lykke til!
Thank you for this! This was the only thing that permanently removed the warning from .bat files downloaded from the internet on Windows 10

(To use it, you put the Streams executable in the same directory as the file you want to unblock. Then you open a command prompt, type the name of the Streams executable, then a space, then your file name.
Example:
streams64.exe "Map J Drive.bat"
where Map J Drive.bat is the name of my .bat file I want to unblock.)