Same thing happened to me (I have the free version of Avast Antivirus). I just selected
"Run Anyway", then it let me install Axe-Edit with no more interference.
BTW, that feature is called "CyberCapture", and is described as this:
"CyberCapture analyses unrecognized files, defends and warns you about new threats, and help keeps your system secure."
You can find it by opening your Avast Antivirus and selecting "Settings". On that page you can choose to let CyberCapture either always block unknown files, or to allow you to decide. Or you can simply disable the feature.
You can read more about CyberCapture here:
https://blog.avast.com/cybercapture-protection-against-zero-second-attacks