Why does my windows say that running this game may put my device at risk?
If the file you try to run ends with ".exe", Windows will automatically warn you that this file may put your pc at risk regardless if it actually does or not. Exe files, short for windows executable files, are programs which have been translated to machine code. They can be and do anything. They can be used for milicious reasons hence why windows is warning you that they may harm your device.
You should never run exe files unless you trust the source. In this case, the file is safe. But if you are ever unsure, do not install them or at the very least use virustotal to scan for malware (which you should be using anyways).