I'm not sure why, it's just false positives though as there's no virus or anything attached and is just a "unknown publisher" warning. I've heard of others having to bypass the warning, but I haven't heard of getting multiple warnings before. From what I've been seeing, the process of "signing" a program isn't free and takes some time so I haven't done that for Gyakuten Live yet.
(I should add that if you're on Windows 10 or so, you can download despite the warning by clicking "more info" first and then choosing "run anyway")