Likely because you've either disabled some of the overbearing security mechanisms at some point (smartscreen is a toggle and it's really frustrating if you're setting up a compiler toolchain) or you're running files that were produced on the local computer. If you disable all the privacy invading checkboxes during Windows setup (most don't), you partially neuter smartscreen as well.

Every browser I know uses the Mark of the Web to tell Windows that a file came from the internet. You'll have to store the file on a FAT32/exFAT drive to get rid of it. If a file comes from the internet, smart screen kicks in.

When a file is unsigned, smartscreen essentially prevents you from running the file. You can work around it, but I had to look up a tutorial myself.

If the file is signed, metadata will be extracted and submitted to Microsoft. If that fails or the exact binary hasn't been run on a certain amount of computers, smart screen will show a big scary warning despite your $500 a year digital signing certificate. This is something developers just have to deal with every time they update their applications, but most people won't be the first x to download the executable and applications using auto updaters download updated in the background can the necessary flags to work around smartscreen.

The restrictions are there, but they're not there for (most) development environments and for most users of popular software.