So I quickly tested the following. All install and work without issue. I downloaded with Edge and used the embedded Windows extraction.
GameEx, GameEx Arcade Edition, PinballX, Lav Filters, Open Shell and Instant Sheller.
So it seems there is maybe a naughty list for certain apps or this guy was talking shit!
7zip also also installed without issue.
Windows 11, version 24H2 (26100.2) amd64
That is how it went for me.
I tested with VPN inactive and using the normal pihole blocklist