You can alway "Ctrl-Y" the download do, it'll download no matter what. Typically it'll just download though. Subject filters just apply to the display. Filename filters apply during download.
Speaking for me and many others, there are certain files one does NOT want to download. I am concerned about accidentally clicking on a file and downloading it (no joke). Have built several filters for those very unwanted files and they flag, but I do NOT want them to download.
It's not like the process of downloading will infect your computer. You have to run things to get infected.
Filename filters will allow you to filter out downloads by filename or extension, they don't show in the post list meaning if you filter out EXE files in the filename filters, they might still show up but, will fail to download.
You can always bypass the filters if you want to though.