Smartscreen filter on Windows will pop up and say this if it's not been ran by a large number of Windows users to their knowledge. Many times, this is okay - especially in the case of small, uncommon executables like this game. Windows is just saying not a whole lot of people have tried to run this app on their PC.
If you download a popular program and get this warning, though, then there's reason to be concerned. In that case, it's a possibility that you either downloaded a fake copy from a malicious site, a fake copy from a legitimate site (i.e. the host of that file got compromised and a bad actor uploaded a malicious "update" to the legit site), or that somehow your legit download was hijacked to download an illegitimate copy (not super likely, but it theoretically could happen). In these cases, that's why some distributors (and/or the developer, themselves) will share signature/hash files to verify the legitimacy and integrity of their files on your end.
In any case, if it's just Windows SmartScreen, you should be fine to click the text for "more" and then "run." SHOULD be. It is absolutely, entirely possible for just anyone to inject some malcious code into something otherwise legitimate that they make, and you just have to trust that they won't do that, here. That's a good reason why one shouldn't just download and run things willy-nilly from itch or otherwise, even if it's from "legit" sites. It's even the case that malicious code can get injected by malware on a developer's PC into their program during compilation, completely without their knowledge. This has happened.
One thing you can do to help yourself feel a little more at ease is to upload things (or paste a URL to the download) to VirusTotal to get it scanned, there. It's not foolproof, but it's an extra step to verify its safety, for your peace of mind. There's a lot of cases where things can give false positives, especially in the case of machine-learning-based or otherwise-hyper-aggressive scanners - so that's worth keeping in mind, too.
In short, nobody can give you a 100% guarantee that any given thing is safe, for a lot of reasons. In my case, I can tell you that I ran it, earlier, and have no apparent issues thus far. *shrug*