Why Windows 7 display an error message when I double click on file named as INIT.BCP.BAT

Question

I have created a BAT script file named INIT.BCP.BAT on my desktop that contains (to be simple) only following lines

echo Hello
pause

When I doubleclick on it, Windows 7 displays following message.

If first point character is replaced by minus character so that filename becomes INIT-BCP.bat, the script run correctly.

If BCP is replaced by BCPX, the script run correctly.

If BCP is replaced by DOC or DOCX or DOCZONE, Windows displays previous message.

I have tested the same thing on my PC on Windows 10 and I don't have this problem.

If I run the same script as Administrator, I don't have this problem.

Question:

What is happening ? Why INIT-BCP.BAT is accepted and NOT INIT.BCP.BAT ?

Is this problem linked to specific Windows security policies ?

Complementary informations:

The antivirus software used is McAfee.

On my personal PC at home (Windows 10), I use Bitdefender.