Most of the time, having the Web Protection warn me that a sign I am trying to access could be danger is great. In fact, 99% of the time I chose not to go to that site and will look for safer sites that contain the information I am looking for.
But there are exceptional cases (1% of the time) that a link was sent to me by a company or someone I know that in fact I was expecting or something I want to open. Right now, my only option is to add the URL to my Exceptions List, but it would be nice to allow me to view the site as a one off without adding to the Exception List. This way, if I get another link, I am still shown the concerns about the site, but I have the choice to go ahead (without adding to Exception List again).
A good example of this is having companies I have done business with send me emails asking me to take a survey but they have used something like Twilio or Mailchimp which wraps the URLs in their own URL so they can track click-throughs for analytics for the company using it. Honestly, this is (in my opinion) not harmful but by default Web Protection blocks this.