People in windows often move files across file systems: between the internal hard drive (generally NTFS) to external USB drives (often FAT32, or exFAT)
I've not seen that warning before. I just tested on a file I downloaded, which had the 'Zone.Identifier' stream. Using Explorer, I copied it to a FAT32 volume, then back to my NTFS drive. Sure enough, it lost the 'Zone.Identifier' stream, and there was no warning when I opened it.
This is on a fairly normal Windows 10 installation. YMMV on different versions, of course.
I saw this warning on files copied from Mac OS X (when I transferred them further to a FAT32 filesystem). Maybe it depends on which stream it is. (Windows 8 Pro.)