Windows protected your PC
Windows SmartScreen prevented an unrecognised app from starting. Running this app might put your PC at risk.
Windows 10 has the SmartScreen feature, which checks files you download to determine whether they are known to be safe. If Windows cannot verify they are safe, it displays a warning.
The reason it warns you about Last Epoch is that our game is early in development, and thus has a comparatively small community – so the game isn’t on Microsoft’s ‘known to be safe’ list.
You can find Microsoft’s Smart Screen FAQ page here.