I can't give comments on the latest versions because I don't touch HL by years.
anyway the following comes from the far 2003:
http://www.securityfocus.com/archive/1/344996valve limited the problem adding a list of extensions which can't be downloaded in version x.1.1.1e: cfg, lst, exe, vbs, com, bat, dll, ini and log
I don't know what is the current situation and level of security anyway downloads (and uploads because if I'm not in error HL can allow them too) are ever a security risk