Some people (on another forum) think that the WD ASR rule "Block untrusted and unsigned processes that run from USB" is just SmartScreen forced on files executed from USB (similarly to "Run By SmartScreen"). But, it is not, in fact. For example, I can run without SmartScreen alert some unsigned applications with MOTW, downloaded to my hard disk from the Internet. But, the same files are blocked by this ASR rule when ran from the USB drive.
Furthermore, if the file is blocked on the USB drive, then it is also blocked on the hard disk after copying it to this hard disk. You can get rid of the block, by renaming the file on the hard disk.