I've run into it a few times, when extracting data off of a hard drive from a dead system. It's fairly easy to reproduce.
I went to a "foreign" system (one of several Win 10 pcs in my house), and downloaded BetaRGB.icc from Bruce Lindbloom's website. I then formatted a USB drive on this same pc, selecting NTFS as the file system. The USB drive after formatting shows Everyone as the only user in the security properties screen. I copied the BetaRGB.icc file onto the USB drive. This is consistent with what one runs into extracting data from a foreign hard drive, except there may be other users listed in the properties.
I moved the USB drive to another Win 10 pc and copied the profile to my desktop. A right click on the file brings up the context menu, including Install Profile, and I invoked same. I checked the security properties of the profile in c:/windows/system32/spool/drivers/color, and all appeared ok, except that it was "branded" as a file from an unknown system, with a msg that it might be blocked, and with a convenient check box to unblock it.
The moral of this story is choose FAT32 for your file system on a USB drive used for file transfer. I won't comment on the appropriateness of Window's actions, but they are consistent.
Richard Southworth
Added by edit - I was not blocked from using the profile in Photoshop even though I had not checked "Unblock", maybe a difference between PS and LR?