It's maybe one MS's tripwires that prevents users shooting themselves in the foot - it's always existed, but I think it's reset in Win7->Win10 upgrades. It's now its called Smartscreen Ψ²
See ==>>
Open File - Security Warning : Unblock File - simplest way to check is to open the MSI file Properties and see if the Unblock button exists - if it does click it.
Also see -
How to disable Windows SmartScreen in Windows 10
BR