Thanks for giving it a try! I saw your playthrough on the stream, don't have much to add here
The windows protects you from "strange" executables. As far as I know the algorithm is something like this:
1. If the executable is digitally signed, Windows assumes its from a good source and doesn't complain. Otherwise
2. It checks with microsoft's servers how many other people run the same file. If its less than some threshold, it will complain about possibly dangerous content.
And yes, I don't have a dev certificate to sign my files. Those aren't free last time I checked