that's because it includes some stuff that windows senses might be dangerous. it's very common in game downloaded manualy, like you do in itch. it's most likely just windows finding something that Might be dangerous, but actually isn't so it's a false alarm.
so i'd say don't worry about it, because it's really common, and most likely isn't malware.
i say most likely because there is a small risk. but the only reason windows says it might be dangerous is because it uses thing that can hurt your pc. but those thing can only hurt your pc if the developer intended it to, aka malware. these thing that can hurt your pc is used for much more than just hurting your pc. many times it's just so the game can save, because it needs to be able to store data on your pc, or else it can't save. the reason windows finds this threatening is because it needs to be able to install things on your pc, which can potentially be dangerous. but if it's just a save file, it's not dangerous, so it's a false alarm.
or it might just be something else it finds suspicious. but remember, just because it might be dangerous, doesen't mean that it is. i personally wouldn't install a game that no-one has played, and gives this windows protecter message, but if it's a bigger game that i think i can trust, i trust that it's just a false alarm.
hope i helped!
