If you download it from the itch.io app then it lets you download

Hello! Widows, says it, because the .exe file was not "verified". Meaning: It was created by a third member, who microsoft does not know about. So windows is just telling you: Hey! I don't know who made this program, and what it does. Are you sure you want to run it? It can be a virus or something... But if you thrust that program, then you can force execution. To be safe, you can do a scan with the windows defender antivirus, to check if the file is "infected" or not.