Antiviruses will likely pop-up such messages with different type of threats being mentioned. The Windows package was compiled based on the Github source code mentioned in the main post.
If there is any doubt regarding the Windows wallet security, please don't install it. You can compile it yourself, based on the code source available on Github.

In the future will try to be in touch with the main Antivirus providers, in order to have our VPC Windows Wallet package included on their white list. It takes time and money (a lot) to get certifications from Microsoft and other software developers.