Does Windows show a warning when installing Legado?

Yes, and it's fine. Here is what to do.

What you'll see

1

When downloading, your browser may offer to discard the file: choose to keep it. In Chrome and Edge the option is behind the three-dot menu, next to the warning.

2

When you open it, a blue screen will appear: "Windows protected your PC". Click "More info".

3

After clicking "More info", the "Run anyway" button will appear. Click it to continue the installation.

Why it appears

Windows includes a security feature called SmartScreen. When you download a program, SmartScreen checks it against a reputation registry maintained by Microsoft: if the file is already known and used by many people, it installs without any notice; if it is new, or hasn't been seen on many computers yet, it shows that blue screen and asks you to confirm before continuing.

It is a reputation check, not a virus scan. SmartScreen is not saying it found anything harmful in the file: it is saying the file is not yet familiar to it. For the same reason, your browser may warn you that the Legado installer is not commonly downloaded.

Always download from legadonumis.com

It's the only official source. If you downloaded the installer from legadonumis.com, you can install it with complete confidence.