What drives me nuts is that as an individual, I can't even buy a code-signing certificate that would eliminate 100% of the warnings that Microsoft scares its users with. And an organizational cert is out of the question without formally creating a full-blown org with a dba, mailing address, and all the checks that go with it. So I'm not doing any of it. This a hobby for me. Trust me or don't.
Or use one of the Windows software repositories that Microsoft lends more credibility to:
winget install -e --id Sigil-Ebook.Sigil