When opening download files in Word 2016, it gives the warning "Be careful- Files from the internet can contain viruses. Unless you need to edit, it's safer to stay in protected view." This warning even shows up for files which contain no macros, so I'm assuming MS Word is capable of executing malicious code in some other way. What else could this warning refer to? Just the OLE objects embedded in a file, or is there anything else to look out for?
I think that you should be careful with any type of active content in downloaded files. Here is a list by Microsoft: https://support.office.com/en-us/ar...ur-files-b7ff2e8a-4055-47d4-8c7d-541e19f62bea
