Protection

For a mid-sized to large enterprise, the functions of the Protection section are some of the most important in Exchange. They can be valuable for smaller companies, as well—particularly, companies that have drawn the attention of malicious actors on the internet, for whatever reason. 

Malware filter

Aside from specifying attachments to filter, the malware filter policy mostly pertains to who gets notified if a message is not delivered due to malware being detected:

Malware filters

Your Office 365 tenant comes with a default malware filter. This filter does not notify users if their messages have been quarantined, does not filter attachments of any extension, does not notify internal or external senders or administrators if a message goes undelivered due to malware, and does not have any rules regarding who the policy applies to.

You can edit the default malware filter (in which case, you'll use the settings tab on the left-hand side, after you've clicked the pen icon to edit, because...