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Sometimes it does that with exes of unknown sources. You can probably solve that by clicking on the downloading bar to change the settings if the message is shown during downloading. There’s also definitely an option to ignore the malware warning as well if there’s a pop up window. LMK if you have questions!

Yeah, don't worry about the warning. The warning appears probably because the game calls windows'  function in "user32.dll" to control the game window. And I promise this doesn't have anything to do with viruses😥 and everything would be alright after you exit the game.