They've packaged it such that the exe installs and unpacks a bunch of files. It's not malicious it's just put together in the same way a lot of malicious stuff is so windows picks it up with a warning.
Yeah big oof from me on this one. I've looked into this and now know the correct way to export my game project so this doesn't happen.. Sorry about that! I'll update with the better packaged version when I am able to, but it is locked right now for the voting period.
