Looking back, I've had issues with Facebook not sending some messages. One attempt with a torrent site, and one sending a .exe file. The difference with your example is AT&T is America-only, while Facebook is a behemoth that enforces their morals world-wide.
Can .exe files be dangerous? Yes. So inform or warn users, instead of silently failing.
I believe such actions are to let robots think they have succeeded. If you want to send an exe you can 7zip it up and put a password on it. Sure it's a little inconvenient but it's an option.
Can .exe files be dangerous? Yes. So inform or warn users, instead of silently failing.