Hi,
I just started a trial and I'm having almost this exact problem. A banking website my company uses downloads and runs a temporary agent program. Malwarebytes is flaging this as "Malware.Exploit.Agent.Generic", blocking it from running, and putting the file in quarantine.
Malwarebytes Endpoint Protection had no exceptions. I added an exception for the specific path and filename that was being stopped. It is still getting blocked and quarantined.
I came here, read the comments, and altered the exception to match the displayed case of the folder name. It is still getting blocked and quarantined.
I'm pretty much at a loss as this is the only exception and it's as specific as one could get.