Like I said, theres a LOT of open source projects that show that prompt. Signing an MSI involves having a valid CA certificate, which AFAIK is not free, and goes beyond the budget of most projects.
We're up for renewal with PortableApps.com. The same one year non-EV code signing certificate with a USB token that was US$246 last year is now US$434 from GlobalSign. The lower prices you see some places are for 2+ years.
Note that the certificate itself is only for 1 year regardless of how long you buy one for and you need to go through the renewal process each year just without payment.
It's not free but it's not expensive either. Most well known Windows open source projects have them; e.g. PuTTY, Wireguard, VLC, Rufus, etc.
Maybe it's high time for a free-as-in-beer CA for non-profit open source developers funded by donations?
Edit: I was wrong.
Prices on code signing certificates have skyrocketed to in excess of $500/year, due in part to continuing meddling by the CA/B forum which increased the requirements of standard certs to be the same as EV certs, and requiring the key to be stored in a hardware token—which must now be re-issued yearly.
This makes it near impossible to provide free or affordable certificates to developers. Thanks CA/B forum, lots of help as usual.