CHM files were identified over twenty years ago as being a security risk, hence the warning. Putting them in a zip file doesn't help as the contents of the zip file get examined as well.
You need to use a file transfer service such as wetransfer.com (2gb limit, you need to register and create a free account), https://fromsmash.com (2gb limit, no registration) or some similar service.
Not the point of your question but as you are new to RoboHelp, I have to ask why are you using CHMs. They are an old technology to the point that Microsoft no longer support them. To create a CHM, the Microsoft compiler is required and that is no longer available on their site.
You should be considering either HTML5 or Frameless outputs. Going forward Adobe will be focussing development on frameless outputs so I recommend considering frameless templates for your project. Other than bug fixes, it is unlikely there will be any changes to HTML5 outputs.
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My site www.grainge.org includes many free Authoring and RoboHelp resources that may be of help.
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