This occurs when the option "Block files with multiple levels of zip/gzip compression" is enabled in Global GAV Settings and it's caused by the the specifics of the XLSX format. Excel automatically compresses the *.xlsx file (using ZIP compression) when the file is saved and decompresses it when it's opened.
In order to allow the *.xlsx files, blocking of multiple level compressed zip/gzip files needs to be deactivated:
Login to the configuration page of the SonicWall.
Navigate to Security Services | Gateway Anti-Virus.
Click on Configure Gateway AV Settings button and deactivate the option "Block files with multiple levels of zip/gzip compression".
Confirm by clicking OK and then Accept at the top of the page.