Infecting files? Who still does that?
"These files are not at risk of infection,".
Most malware in past years doesn't even infect files anymore. They drop files on the system and either directly, or via compromised program (browser, document reader, etc), inject an entry in the registry/start up to have the dropped file/malware auto-executed by Windows or another program. And guess what? The file/malware can be named anything, not just .exe or .dll.
MS' advice? Should be accompanied with a bright, blinking, in-your-face warning, doing so is like pointing a loaded gun at your foot with finger on the trigger.