I've enabled the rule to block executable media types but above that I have a rule that will allow some websites such as for example mcafee.com.
Ive set the allow up as an "Stop Rule Set" so that it will allow the user to download the file but it is still scanned via anti-virus.
The issue I am running into, if the file is compressed and contains an exe, the file is then blocked so the only way I can get around is to allow the download and bypass scanning completely.
Is there a way to allow the download for some users, still scan the file, and still allow the download if the scanner finds an exe inside a compressed file?
Have you checked the rule trace to see the flow of your traffic?
Basically, you just need to take note of which rules block a legit download and allow a bypass rule from these blockings.
It is indeed very possible that a certain traffic could be blocked by multiple rules so bypassing just one might not be sufficient.
Take it one testing at a time until you get your desired result.