Windows 10 SmartScreen is just as deliberate and just as scary.
You absolutely have to pay for an extended validation code signing certificate, or your installer will be blocked by default.
Third parties charge more for that code signing certificate than Apple does for a developer account.
If anything, the problem is that even software with an EV certificate should be subject to the warning (like how SmartScreen worked in the past).
If you check to see if the developer's signing certificate has been revoked before running their software, you can be reasonably sure that doing so is safe.
Apple's developer program is cheaper than the extended validation code signing certificate you need to develop and sign software use on Windows without running into a block from SmartScreen.
Apple's developer program is not only cheaper, it allows for functional code signing that completely sidesteps their app store.
I am not sure what you mean regarding your point about sidestepping Apple's app store. Code signing can obviously be done on either platform without any app stores.
Gatekeeper has no such caveat.