Which is similar to what Apple does for MacOS (and Google for Android).
They haven't prevented people from installing untaxed software, but they have made it a scary and difficult process for the average user, and made it very difficult for anyone to sell software without giving Apple/Google a cut.
It would be funny if Firefox would warn you about downloading Firefox because it is marked as malware. Would server Mozilla right for letting Google maintain that list, who have shown they do not care about false positives.
They could mark the install executable as malicious in Windows Defender.