Martin, my comment was admittedly cryptic, since I generally won't make much effort for anonymous users. But to elaborate slightly, I was referring to the case $F=\mathbb{Q}$. In this case, with the help of a tubular neighbourhood, we can see that $j_*F = \mathbb{Q}$ if $q=0$, $R^qj_*F= \mathbb{Q}_Z$ when $q=2 codim(Z)-1$, and the other direct images are zero. Then it is not hard to see that Leray reduces to the above "localization" sequence given in excision in algebraic de Rham cohomology
Donu Arapura
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