F5 ASM appears not blocking filetypes in http query

In order to block the request, you can follow these steps:

1)_ Fix and use the REGEX : (([A-Za-z0-9_-]+)\.exe).*$
     Tool: https://regex101.com/

2)_ Create Attack Signature List.
     Security ›› Options : Application Security : Attack Signatures : Attack Signatures List

3)_ Create custom "Attack Signature Sets"
     Security ›› Options : Application Security : Attack Signatures : Attack Signature Sets

4)_ Enforce the Signature in the policy

5)_ Test