Both will likely warn you simply because it's a .exe -- similarly you would get this warning on any other game or tool's exe files on itch assuming it's below a certain download-count threshold. I assume the chrome one may disappear after a certain number of downloads has been reached, the windows one will continue regardless, but, assuming we're talking about the same box, isn't an out-of-the-ordinary occurrence for downloaded software.
If additional warnings besides the "usual" ones are coming up, feel free to post a screenshot and I can look into it!