UPDATE: Another writeup here: How to add publisher in Installshield 2018 (might be better).
I am not too well informed about this issue, but please see if this answer to another question tells you anything useful (and let us know so I can evolve a better answer here): How to pass the Windows Defender SmartScreen Protection? That question relates to BitRock - a non-MSI installer technology, but the overall issue seems to be the same.
Extract from one of the links pointed to in my answer above: "...a certificate just isn't enough anymore to gain trust... SmartScreen is reputation based, not unlike the way StackOverflow works... SmartScreen trusts installers that don't cause problems. Windows machines send telemetry back to Redmond about installed programs and how much trouble they cause. If you get enough thumbs-up then SmartScreen stops blocking your installer automatically. This takes time and lots of installs to get sufficient thumbs. There is no way to find out how far along you got."
Honestly this is all news to me at this point, so do get back to us with any information you dig up yourself.
The actual dialog text you have marked above definitely relates to the Zone.Identifier
alternate data stream with a value of 3
that is added to any file that is downloaded from the Internet (see linked answer above for more details).
I was not able to mark this question as a duplicate of the previous one, since it doesn't have an accepted answer. Let's leave both question open for now? (one question is for MSI, one is for non-MSI).