I've literally never used a mail client that behaves this way. If the EXE even makes it past attachment scanners, I get a 'save'/'run' prompt and then if it's not signed and trusted, SmartScreen usually prompts me again to confirm that I really want to run it.

The app is usually in an installer package or ZIP which adds a couple more execute barriers.

The real threat is malware hidden in document formats like docx or pdf, which usually have fewer clicks before open + get exploited.