I think a better question, rather than a point about unsigned exes, was: "on a regular consumer version of Windows, what happens if you run literally any program that was not downloaded from the Microsoft Store?". In which case the answer is "you cannot run it, there is a pop-up directing you to the Microsoft Store, and the only way to find out how to run it is it to google the information which will point you through several layers of system menus to disable nanny mode". This will happen to you for something as common and widespread as downloading Chrome or Firefox. Attempting to disable nanny mode will result in an ominous screen warning you about how bad the thing you're about to do is, and telling you that the action is irreversible.

Microsoft is not as bad as Google and Apple, yet, but they absolutely have the power to be as bad and are flirting with how to accomplish greater and greater control of their platform without triggering too much backlash.