Weird, I must have not set up something in GameMaker. Was it a unknown publisher warning? Or was it requesting admin rights? It could've been that the .exe file is a installer, its not a direct game executable.
That's very likely the cause, yes. If possible I'd export as a directly run-able executable, especially for a jam. Let me know if you do! I'd really like to check it out and give a proper review/rating 😄