The MEG's scans the contents of compress files automatically, to block emails with .exe you would want to sent up a file filtering rule under compliance.
-Find File Filtering under compliance
-Click add rule, Create name
-Check Enable File Category Filtering
-Under Category Filtering choose Windows Executable and make sure Other Specific Windows Executables is checked.
-Under If Trigger pick your action
That's a pretty basic way of blocking or quarantining .exe
Thanks for the answer.
I confirm that the file filtering rule is already configured. So I guess that there is something wierd happening or maybe it is a bug related.