Prevent users from unblocking downloaded XLL files

Hi,
We have some users who relies heavily on XLL- files in Excel.
As a proactive security measure, we would like the users not to be able to "ublock" downloaded XLL- files from external sources.

I have found some policies that prevents the users from unblocking any files, but nothing that limits them from unblocking only XLL- files, unless they are local admin?

Are there anyone who have circumnavigated this issue?