Hello, that is a standard windows problem! Windows does that pop up on all games that the developer does not pay around 300 bucks on licensing for. : )
In case of doubt you can always use the itchio software manager to download this game and play!
It's not the "run unrecognized app" popup that's the issue, but the "allow to make changes on your computer" popup.
Well, I do need to save your progress somewhere. : )
