This is perfectly normal and expected behavior. However, this cause problems if you were to try install the model. After unzipping the content and attempting to install it you would get this error:
CategoryInfo : OperationStopped: (:) [Install-AXModel], PipelineStoppedException
FullyQualifiedErrorId : Exception has been thrown by the target of an invocation.,Microsoft.Dynamics.AX.Framework.Tools.ModelManagement.PowerShell.InstallAXModelCommand
If you were to attempt peek inside the model using Get-AxModel you would get this error:
CategoryInfo : OperationStopped: (:) [Get-AXModel], PipelineStoppedException
FullyQualifiedErrorId : An attempt was made to load an assembly from a network location which would have caused the assembly to be sandboxed in previous versions of the .NET Framework. This release of the .NET Framework does not enable CAS policy by default, so this load may be dangerous. If this load is not intended to sandbox the assembly, please enable the loadFromRemoteSources switch. See http://go.microsoft.com/fwlink/?LinkId=155569 for more information. ,Microsoft.Dynamics.AX.Framework.Tools.ModelManagement.PowerShell.GetAXModelCommand
While the first error isn't really intuitive, the next error gives us an additional clue; "assembly from a network location".
The solution is simple - unblock!
You have the choice to either unblock the downloaded zip.
Or you will have to unblock the AX Model file itself.
After the file is marked as safe and "unblocked", you are good to go!