That message is completely normal for any indie game or (A)VN. Windows shows it whenever an .exe isn't signed with an expensive code-signing certificate, so it labels the creator as "Unknown Publisher".
You basically need to trust the developer you downloaded it from, which is why leaked or early-release builds from random websites can be risky. Sadly it is very easy for someone to inject bad stuff into an .exe. If you grabbed the game from my official itch, Patreon or Substar pages, it's 100% the clean, original build from me, which is safe.
Adding an official publisher signature would require a yearly certificate that costs up to 500€, and for a small solo dev like me that's just not realistic.
TLDR: Don't worry, the warning is expected, harmless, and simply Windows being overprotective (at least for my game). Thank you for checking to be safe!