I’ve never seen an MKV file carry the Mark of the Web before.
Are you sure that’s just a video file, and not a shady combination of an executable and an MKV? It’s not exactly hard to give an executable the Windows icon for an MKV file and call it Movie.mkv.exe (or mask the executable nature in some other way).
There are also various know exploits for (old versions of) media players that may trigger security warnings for all kinds of files, although Windows will usually quarantine those rather than prompt you like this.