Strange, did you download the latest version? If there's a "Windows protected your PC" message then click "more info" and then run anyway. And if that's not what is displayed select actions and then allow on device. Though it should not happen on the newest version.
It won't let me allow on device, whenever I try to the option just vanishes before I can click on it, no clue why. Edit: I have been able to click on "allow on device" but even when I do it doesn't download
I actually had similar thing when I downloaded it myself today. I went to protection history, hovered my mouse over "potential danger", clicked, and then clicked "yes". Worked out for me.
Idk if this is what you're looking for but here you go