Edge is pretty bad not allowing MC downloads at the moment due to how integrated it is with Defender. The second popup is the SmartScreen feature (which is also integrated in Edge), usually it tends to pop up until a file has been out in the wild for a bit.
What baffles me a little bit is that MC's files have a digital signature using a certificate they bought (you can see this signature when right clicking on .exe and .dll files in MC's install directory). The really weird thing to me is how slowly Microsoft has been at trusting the certificate. It also baffles me a little that it seems to flag specific files as false positives, I believe it was JRWeb.exe or JRWorker.exe when I last encountered this. My first thought was maybe it's some sort of EXE packer/compression used on the executables themselves or the installer (UPX is a known example of a EXE packer) but now I'm not so sure.
My other thought is, is it the installer or is it the file(s) (like JRWeb.exe and JRWorker.exe, etc.) themselves triggering the false positive? If it's the files, maybe it's something about the name doing it?