Welcome to the forums @QuantumIsles!
This is, sadly, just a downside of how Godot works and how Window SmartScreen works. The Godot export templates are compiled versions of the Godot engine that run the .pck file. However, because they are compiled and not signed with a certificate, Window SmartScreen sees them as a "potential" issue and does not allow for their execution without getting permission from the user. The only way to fix this, that I know of, is to compile the export templates manually and sign them with a certificate from Microsoft.
I personally have not had the issue of Windows SmartScreen popping up, but based on my Google searches it seems this is a semi-common problem. I would perhaps just add a note about how Windows SmartScreen sometimes will popup and how to fix it.
