I will make it ask it when you enter some server with downloads for the first time. So it will give an option to either allow downloads or disconnect.
While executables are not in any way executed, there still remains the risk of various security holes due to how the game loads model files. I've done my best to remove such security holes from VC, but since I do not wish to be responsible in case I've missed any, it's best to leave it up to the user to decide.