Window stupid
Don't listen him
Windows is informing the user that the file is from an unsigned developer, meaning - it's not known to Microsoft or the safeguarding they have in place. It's not stupid, it serves a purpose. Just because it prompts here, doesn't mean anything negative. It's just a prompt asking if you want to run the application.
My bar is I shouldn't have to force quit a game in task manager because it's frozen and no user input does anything. I find it ridiculous that you think that's acceptable at any stage of anything. But maybe early access isn't for you if you can't handle the fact that there will be negative criticism. Find something finished and polished and spare everyone the drama.
I know we both agree on my complaint. You're giving the game extra grace because you think it deserves it. I don't think it needs to be coddled. Get over it.
I tested this game on a bunch of varying machines and the only time I encountered this specific issue you're mentioning is on a Windows 10 machine. All the machines running 11 had no issue exiting out, or closing the game. Even on the Steamdeck the game runs and exits properly.
If you're running Windows 11, then I don't know how to help. Are you launching the game from a restricted location? (Like My Documents, User Folders etc) or Desktop? SSD or HDD? GPU? RAM Size?