Yes, but there is a difference. While "cute-kittens.gif.exe" can raise some eyebrows, since a GIF shouldn't be executable, I wouldn't say the same about
.tar.gz files. To be more clear,
.tar.gz should be considered as dangerous as
In fact, since any compressed archive coming from a Unix-like system is usually
.tar.gz file could have a reasonable justification, such as a compressed archive of pictures, whereas I don't think a
.gif.exe could be justified in any way. Much in the same way, a
.txt.gz file could simply be a compressed text file, and should not be viewed as suspicious just because of its extension.
It is true that compressed archives (even
.rar,etc.) can be used in order to complicate the AV scanning process, for example by sending a password-protected archive or by deploying a zip bomb, so putting in quarantine compressed files may be a good idea. However, this doesn't depend on the "double dot" extension, but simply on the fact that they are compressed files.
TL;DR Files with extension ".X.exe", where X is
jpg,etc. should always be blocked. Compressed archives having extension
.tar.gz extension are no more dangerous than a zip archive. If Outlook only quarantines
.tar.gz files, as opposed to
rar, and so on, this is wrong.