Can't add a reply to an old question, so hopefully this helps....
I was happy with a warning when trying to download an EXE or JAR file etc from the internet, to help protect users, but was not wanting this when trying to download our own JAR files from internal intranet (like from our own nexus repository).
The fix, coming off of what someone said on https://community.sophos.com/intercept-x-endpoint/f/discussions/109716/add-multiple-websites-simultaneously-to-global-exclusions
was to go into Sophos Central Admin -> Endpoint Protection -> Policies, and under Threat Protection, I'd created my own policy, and inside that Settings->Exclusions you can add an exclusion for your IP subnet, such as 10.192.150.0/24 or 192.168.0.0/24
You can also do in the Global Exclusions, but having it in your own policy probably is better.
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