There are CAS policy exceptions when running Command Line Tools

Problem

There are a lot of exceptions like this in the logs: 

--- EXCEPTION #1/4 [NotSupportedException] 
Message = "An attempt was made to load an assembly from a network location which would have caused the assembly to be sandboxed in previous versions of the .NET Framework. This release of the .NET Framework does not enable CAS policy by default, so this load may be dangerous. If this load is not intended to sandbox the assembly, please enable the loadFromRemoteSources switch. See http://go.microsoft.com/fwlink/?LinkId=155569 for more information." 
ExceptionPath = Root.InnerException.InnerException.InnerException 
ClassName = System.NotSupportedException 
HResult = COR_E_NOTSUPPORTED=80131515 

Solution

1. Open the Properties window for the "zip" archive file downloaded from the JetBrains site (call the context menu for the file in the File Explorer);
2. Choose the General tab;
3. Hit the Unblock button;
4. Extract files from the archive once again.