Unfortunately we need a license to make that security message disappear, and that license is pretty costly.You can still download it by clicking more information and download anyway!
there are not really exclusive features in the download version, just some visual effects that we can't figure out how to make them work on the web version. Also it is because Godot, the engine we are using to make the game, is not really optimized for web builds, so we try to make it work regardless since it is convenient to try it out there, but eventually, the downloadable version will always be superior to the web version