Both Windows and MacOS require that developers digitally sign their software, if you want users to be able to run that software without jumping through additional hoops on their computer.

You can't distribute software through the Apple or Microsoft app stores without the software being signed.

You can sign and distribute software yourself without having anything to do with the app stores of either platform, although getting a signing certificate that Windows will accept is more expensive for the little guys than getting a signing certificate that Macs will accept.