Yes- it's very common with wallet and mining software downloads.  Turning off security will allow you to download the file but won't stop windows from recognizing it as a threat at some future point- in order to do that you will need to set up an exclusion for the file.
  You can set up an exclusion for just the one wallet, or you can make a general wallet folder with an exclusion and use it to store all your wallets.

Create a folder for wallet downloads.  Create a subfolder called cropcoin1

• Open Windows Defender Security Center, and then select Virus & threat protection > Virus & threat protection settings > Add or remove exclusions.
• Under Add an exclusion, select the wallet folder. The exclusion will apply to subfolders within a folder as well.

Turn off security protection to download wallet.

• Open Windows Defender Security Center, and then select Virus & threat protection > Virus & threat protection settings >Real-time protection (switch off)>Cloud -delivered protection (off)
• Download the wallet and save it in your cropcoin1 folder

Turn security back on


Any new wallet downloads in the future that you trust and want security to leave alone just create new folder and place it in wallet folder and security will ignore.