Right after installing a Windows build (.exe) from your Desktop project, seeing a "Windows protected your PC" SmartScreen warning is expected, not a sign something is broken or unsafe about your specific build.
Why this happens
Desktop builds are currently in Beta and aren't code-signed (a real, paid code-signing certificate would be needed), which is exactly what SmartScreen checks for before skipping this warning. Clicking "More info" then "Run anyway" installs it normally, this isn't something you or we can currently turn off from CodeBlock Studio's side.
macOS
Desktop builds are Windows and Linux (AppImage and .deb) right now, macOS isn't offered. An Apple Developer certificate would be needed for that, without one, the app would be blocked from opening for most users rather than just showing a warning.