Most smaller devs aren't willing to go through the cost and bureaucracy to get applications signed or verified, leading to these kinds of warnings (on Macs and Windows). You're probably right to be cautious.
I think the large number of high ratings and hundreds of comments would suggest it's probably safe. We definitely don't knowingly put malware in the game, but I think very few people knowingly spread malware either. You're very welcome to scan it with an antivirus to check that there's no malware.
fwiw, when we're on Steam, these are reviewed by Steam's review process and installed by the Steam client, so to my knowledge the exact same build won't raise these warnings. If you're really uncomfortable, you can always just wishlist the game on Steam and get it there when it's available in the future.