I think that's your windows settings more than anything, but by no means should anyone download something they don't trust from the internet.
The game only creates and reads the save files "Save_0.txt", "Save_1.txt" ,and "Save_2.txt" inside the local "Gobo Gamba Guild Data" folder. SO if Windows defender is getting pinged by anything, maybe it's that? Overall Its most likely your settings, and since a few folks who have reported bugs on the download version made no mention of this issue, and I would HOPE they aren't gaming un-protected.