No way to enable downloads from certain sources? [MacOS]

When I try to download a video from Discord on Mac OS Sequoia 15.5 a tab opens in my default browser, Brave, with the URL of the video. The download does not appear to start and the info icon on the left hand side of the URL bar says my connection is not secure. However, if I try to quit Brave, I am warned that downloads are in progress when the only downloads attempted were these from Discord that failed. Turning off the Brave Shields does not fix it.
How can this issue be reproduced?

  1. Attempt to download a video from the Discord desktop app for Mac
  2. Turn off Brave Shields - no effect
  3. Attempt to Quit Brave to see warning about downloads in progress

I would expect that the download would automatically start or that I would be given an option to allow the download despite the lack of a secure connection.

Brave Version 1.80.115