is this supposed to happen?
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It's microsoft telling you that it doesn't recognize the publisher. They charge several hundred dollars a year for a code signing certificate. You can verify the file on VirusTotal first, if you are worried.
It's not going to stop appearing until I pay the certificate mafia their protection money and I don't plan to anytime soon
I understand if it's a deal breaker for you. When I release a steam demo or full build, the warning will stop appearing if you launch it from steam.
Not because I will buy a certificate, but just because windows ignores the lack of certificate when the game is launched from steam.
Hopefully this clears things up!