Web browser and registry fixes only work for files downloaded after the fixes were applied. The AlternateStreamView program linked in the article is useful for identifying that all files are free of data streams.
If the file is not being blocked due to :Zone.Identifier:$DATA then you'll need to look for other reasons for the file being blocked (or partially blocked) such as anti-virus software or elevated user requirements in the location where you unzipped CUETools.
Thank you for the suggestion of AlternateStreamView. I tried it on the entire cuetools extracted folder. Nothing found.
I also tried downloading the .zip again and extracted it into my 'Documents' folder. Same result.
Ran as administrator, same result.
Attached details on the version of windows...