Problems with sophos utm 9.4 web filtering option -Transparent Mode

A very good day to you Sir !

I hope you are doing Great Sir !

I have a question regarding Sophos UTM 9.4 Home Edition of the Firewall

And it regards the -> Web Protection -> Web Filtering option

If I set the Web Default Download Filter to Block all downloads of the extension EXE as well as set to do an Antivirus Scan on all Traffic,

I can only get the Web Filter to work in Transparent Mode

The Transparent Mode Option can be found under -> Web Protection -> Web Filtering -> Transparent Mode

If I set the Option to Standard Mode, I "will be able" to download any and all exe files

If I set the Option to Transparent Mode, I "Will Not be able" to download any and all exe files

And this goes for any Virus files that I download as well.

In Standard Mode there is "no" Anti Virus Scanning and Blocking of files that I download

In Transparent Mode there "is" Anti Virus Scanning and Blocking of files that I download

Now the Problem is this

Every Time I set the option to Transparent Mode - My Kaspersky Antivirus will give out a warning message of  

"Cannot guarantee authenticity of the domain to which encrypted connection is established"

This is a Certificate Error and if I view the Certificate Error Message, it says 

"Windows does not have enough information to verify this Certificate"

And this will occur for every url and web site that I go to

This means that If I turn on Transparent Mode, I get FULL Protection for Antivirus Scanning and EXE Blocking

If I turn on Standard Mode, I do NOT get FULL Protection for Antivirus Scanning and EXE Blocking

And If I turn on Transparent Mode - I get the Certificate Error on every page I go to

Does anyone know how I can turn on FULL Antivirus Scanning and EXE Blocking but DO NOT GET the Certificate Errors ?

Hope to hear from you soon Sir !

Thank you very much for your time and kind help Sir !

Warm Regards as Always Sir !

Dr. David Bowman