When I try to run mongosh.exe from Windows explorer, then execution is blocked by Microsoft Defender.

I know, there is hardly any use-case to start mongo shell by double-click, however it should not be blocked.

I am using the .zip download of Mongo Shell. Starting mongosh.exe from command-line works fine.

MongoDB may talk to Microsoft to whitelist the application. Another option might be to sign it with your x.509 certificate (as you do sign the .msi file)