Sometimes I have the same issue with defender. When the download completes defender identifies the file as a threat and deletes the file. The warning message is the same. It's a common issue with defender and other AVs.
Usually it is a false positive and most of the times the warning disappears the next time defender gets an update.
If you trust the source of the file, you can accept the specific risk in defender. Then you have to download the file again and this time it will not be deleted.
After extraction you can go to the same message in defender and reset the setting. If you want to keep the original archive you first have to move it to an external drive.
In general all uploaders on SAnet can be regarded as trusted source. Most of them have been active for several years and if any uploader post malicious files, the uploader will be banned permanently from SAnet.
Usually I only have the issue with rar files. I don't think I have had the issue with other archive formats.
I also sometimes have the same issue with archives I have created myself. I then used defender to scan the original folder finding no threats, but the archive I created was anyway deleted by defender giving a similar threat warning.