Probably they don't and they actually say something like "unsigned executable, so don't trust this thing, because they didn't register with MS HQ and didn't pay, so their stuff can't be trusted". Of course, use an antivirus, always when you download stuff from the net!
But signed or unsigned is pretty much irrelevant. Just fyi: Unity games don't show this because the executable is signed by Unity and then executes arbitrary code, so that "security" is non-existent in loads of similar cases (the whole Crowdstrike fiasco had a similar problem: Signed executables, that load stuff that is then executed completely circumventing the purpose of signed executables).