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.