The antivirus thing is normal. When you download or create a standalone build of a game or application made with Unreal Engine (or any engine, for that matter), it's no longer associated with a trusted distributor like Steam. The antivirus sees a new, unfamiliar executable file. Because it's not coming from a known source, the antivirus is more likely to be cautious and flag it, even if the file is perfectly safe. It's essentially an "unknown program" to the antivirus.