I get that if you're distributing software to the wider public, you have to make sure these scary alerts don't pop up regardless of platform. But as a savvy user, I think the situation is still better on Windows. As far as I've seen there's still always a (small) link in these popups (I think it's SmartScreen?) to run anyway - no need to dig into settings before even trying to run it.

Are you sure? I had not used Windows for years and assumed "Run Anyway" would work. Last month, I tested running an unsigned (self-signed) .MSIX on a different Windows machine. It's a 9-step process to get through the warnings: https://www.advancedinstaller.com/install-test-certificate-f...

Perhaps .exe is easier, but I wouldn't subject the wider public (or even power users) to that.

So yeah, Azure Trusted Signing or EV certificate is the way to go on Windows.