Oh really? For sparrow? Where did you download from? I went to github sort of got the impression that's where to source out the real links...But that's just my own made up assumption. Not sure if it is accurate.
Discussion
I googled it and went to the official website https://sparrowwallet.com .
In my second attempt I downloaded the .exe file instead of the .zip file and there was no warning anymore.
After installation I then could verify the installation with a tool which is integrated in the software.