This whole question may have been a bit of a red herring but it's still a bit puzzling, in my opinion. I did do the SaveZoneInformation change as you suggested but it didn't make a difference in the exe file that I was trying, which was Adobe Flash Player. I then tried it in a limited user account and I didn't get a Windows warning but I got a message in the Adobe installer that I didn't have privileges so that was good. I then tried another exe in that account (CCLeaner) and I got the Windows Open File Security Warning dialog box--good again.
I logged back in as administrator and tried the CCleaner exe and got the Open File Security Warning dialog box but when I initiated the Adobe Flash installer I got no warning. Therefore it seems to be something related to Adobe's Flash installer that can bypass the Windows security settings. In my opinion that is not a good situation to have an installer designed to run, even on an administrator's account, without warning the user first.
What's your take on it? Do you think that Adobe should be able to bypass the Windows settings? (It is the Flash Player version that is not Active X but the other "plain" version.)