This game will leave a possibly malicious, hidden DLL running on your computer.
Look for something called rundll32 with arguments like... -localserver {some-uuid-here]
The process does not terminate when you close the game. It uses a CLSID which it then deletes from your registry to mask the filename of the DLL that it's running.
It could be a harmless DLL, but the masking / hiding behavior being used is a huge red flag. You can instead run this game in a windows sandbox (google how to do it), if you want to be safe, just in case.