It seems Unity doesn't sign Windows apps, only Android. But you can sign the exe using SignTool from Microsoft. Certificates cost money, but you can auto-sign an app for free. I'm looking onto it because I need it too.
If you auto-sign, it still displays a warning but maybe it reduces the chances that it's perceived as a false positive by antivirus.
Anyway, I will try to mark it as safe so I can install. It's my antivirus.