It's because it can cause confusion. The only difference between example.com/file.zip and example.com.file.zip is one uses a . and the other a / but both are valid domains. If somebody isn't paying much attention or they don't know much about domain names, they could click thinking to get a zip file from a legitimate site and end up going somewhere malicious instead. No other TLDs have this issue (well, I guess .com technically has it but who the hell is downloading and running com files these days) and they're pretty much exclusively used for this reason so it's a good idea to block them just to be safe.

since .zip and .mov are recognizable file extensions, a url of the form google.com.docs.zelensky.zip could make people think that the domain is google.com pointing to a zip instead of the true domain, zelensky (dot) zip which probably would serve malicious content under that subdomain.