You want to disable download files/images from web.whatsapp.net to your local machine.
In order to block/disable downloading images from web whatsapp to your local machine do as follow:
1. Create a VPM - Web Access Layer with 2 DENY rules:
Add Destination rule "Request URL": mmg.whatsapp.net
Add Destination "File Extensions" : extension file ENC
2. Install Policy
3. Run https://web.whatsapp.net on your browser
4. Verify images and try to download them. Download will be disabled.