There are 3 or 4 threads open on this all since 11.6.6, regarding both Mail and Outlook ... now this seems bigger than just mail apps but something inherent with the security fixes in 11.6.6 and in particular with Preview ... please file a bug report with Apple (use Feedback Assistant) ... this is a major inconvenience and it needs fixing, but that won't happen unless everyone with this issue takes 2 minutes and files a bug report so the matter percolates to the top :~)
Not sure about Mail but in Outlook )or with just stand alone PDFs) the only workaround seems to be quitting Preview, Word, Excel or whatever app is insisting on permissions, then it will open, but the next one won't unless you first quit the app ...