Just went and confirmed, in Skype for Business it does not launch the executable but rather opens explorer to the share and highlights the .EXE. So, anyone operating that share will still be passed your creds, but it doesn't launch the executable.
Testing in zoom, it launches the OS prompt to confirm .exe launch. Tested in Windows 10.
No hyperlink in any reasonably-authored messaging app is both going to download+run an .exe file without confirmation AND send your credentials to the remote server without prompting. It's absurd behavior