That message from windows doesn’t indicate that it’s an infected file, it’s just warning you that your security settings aren’t what Microsoft recommend. Even then, the smart home space has a lot of executable files compiled by unsigned developers so if you’re a Windows (or Mac) user you’re likely to encounter a lot of security warnings when working on this kind of project. They’re there to ensure you know what you’re doing and trust the source of the executable file/application.
EDIT: Also if you’re concerned, you can always run executable files through something like VirusTotal before launching them, but that might give you a false sense of security. Here is the result for the file you linked to.