Put bluntly Users are stupid
Not all of them, of course. But when you are handling the email for hundreds or even thousands of users, you will have some of those users that will open anything, provide their credentials on any phishing page (even those mimicking a different site!), etc.
Thus all kind of filters get added to mail systems for preventing that malicious content arrive to the users. They may include url reputation, antivirus filtering, and one of the most powerful ones is to simply block certain content.
When was the last time you needed to send an extension to Windows Control panel by email? Yes, a few people do develop them. The rest of the world receiving one it's just a virus. Even if it's not detected by your AV solution.
Similarly, in a comment Ismael Miguel mentions .iso files. What good is sending a .iso file by email? A typical iso file will be at least 500-600 MB. Some of your users would happily send them by email (even a 4 GB one), but that is an abuse of the system, email is not designed for file sharing, and does a relatively poor job at that. You should be looking at other solutions for file sharing (email is the lazy way, though).
The fact is that virus are using odd formats such as .iso, or old compression ones, precisely to overcome (Email) filters that would block their virus if they used a more common container (such as zip).
So, yes, it is simply to protect naive users from explicitly executing an untrusted attachment.
Would it not be sufficient to use a big, fat warning aka "Are you really sure you want to do this?"
Experience has showed that it is not.
Look at the interface of Microsoft Office when opening a document with macros. It will do exactly that, when opening a file downloaded from the internet / an email it will show a bar such as:
Be careful - email attachments can contain viruses. Unless you need to edit, it's safer to stay in Protected View.
(List of Protected View messages)
However, almost every malicious document will contain content instructing the user to disable the Protected view "in order to view the document". Actually, so that the malicious macros will run.
And the bad news is that -for a fraction of users- they work. Users are receiving malicious emails, opening the attached (or linked) documents infected with macros, disabling the Protected view "Sandbox" and getting infected. The recent Emotet infection waves mostly(?) used macro document. And people got infected. By loads.
It's not that it is a bad design. In fact, Microsoft engineers didn't have much choice than allowing the users to override it (note: the system administrator may enforce that they get blocked), as there are certain legitimate cases for sending and receiving documents with macros.
There are of course legitimate cases for receiving otherwise blocked attachments, including suspicious or even known-to-be malicious content. For instance, an abuse@ email address, should be able to receive a notice of the malicious url on their own infrastructure that is serving a trojan, or a sample of the email they are sending out rather than blocking it at reception like some systems do (the best practice would be to apply filters both on sending and receiving).
Thus, the filters could be configured to exempt certain senders / recipients / mailboxes that need to receive otherwise blocked attachments. A good setup may additionally ensure that they can only be accessed from certain systems (isolated from the network, maybe?) and/or by some users known not to be stupid. :-)