Windows 10 will usually do the same Smartscreen check on downloaded files, even without Andy's tool, but the tool comes in very handy for files lacking mark-of-the-web. That could be files on a flash drive, compressed files downloaded in rar format, and other cases.
That would be the way of using RunBySmartScreen by some (usually advanced) users. But, RunBySmartScreen is intended to for opening all new\unsafe\unknown files. If the file is from not dangerous category (checked by file extension), then it is allowed to be opened (photos, media files, etc.). If the files can be abused but are commonly used (PDF, DOCX, etc.), then an alert is displayed, like the below:
Additionally, for MS Office documents and PDF files, the Mark Of The Web (MOTW) is added. So, the applications open those files as if they were downloaded from the Internet.
If the user tries to open the shortcut with the command line, then it is blocked with an alert:
Compressed archives not supported by Windows build-in unpacker (.7z, .arj, .rar, .zipx) are blocked with an alert and short warning:
Other files with dangerous extensions (over 250 file types) are blocked with an alert, for example:
