Hello. IT Support ,
Yes, it is possible to block the download of executable files through File Filter within the Web Filter profile.
Just access:
Services > Web Filter > [desired profile] > File Lock > Add
and check the Executables option.

If you need to allow exceptions, you can create a second Web Filter profile without blocking and apply only to addresses or users who need access.
More details are available in the documentation:
. Web Filter – Blockbit Docs