If the game is installed through our app then no signing is necessary. If you plan to have people download the game directly from their browser, then it will get flagged for a warning, so you'll have to sign the executable to avoid it.
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Like leaf said, people who download directly from web will get a warning. Sometimes it's a pretty dissuasive warning - as in, the default option would be to *not* open the game, and the option to open the game would be somewhat hidden.
Note that even signed binaries will trigger a (less scary) warning in SmartScreen. Eventually, only having your game be downloaded hundreds+ of times will let it build a reputation that makes it go through SmartScreen, Google Chrome's "this might be malware" alert, etc.