I just discovered that the metadata that warns you about a file coming from the Internet also often contains the URL where it was downloaded from, as well as the referrer to that URL (meaning the main website most of the time). This hidden metadata is brought along with the file being moved/copied as well.
Posting about it here since it blew my mind that my old files essentially has my private browsing history going back many years. Even if I can only teach 1 anon about it I thought I'd do it.
You can confirm this information by finding any file that you can "unblock" in its rightclick Properties (meaning it has the hidden metadata) and then doing this in powershell:
Get-Content -path "C:\example.png" -stream Zone.Identifier
Checking the "unblock" in Properties removes the sidecar file but I don't know how to do it on multiple files.