Why do I get UAC warning about unknown publisher when the installer is properly signed?

I have an installer from Microsoft website. I’ve confirmed using signtool.exe that this is indeed from Microsoft:

signtool.exe verify /pa /v C:UsersyegleDownloadswsl_update_x64.msi

Verifying: C:UsersyegleDownloadswsl_update_x64.msi

Signature Index: 0 (Primary Signature)
Hash of file (sha256): D0C19BCD99DCA9D980ED7B3A55BEC7098468EE2FAB1D8A163CF4CBB5374F7F47

Signing Certificate Chain:
    Issued to: Microsoft Root Certificate Authority 2011
    Issued by: Microsoft Root Certificate Authority 2011
    Expires:   Sat Mar 22 15:13:04 2036
    SHA1 hash: 8F43288AD272F3103B6FB1428485EA3014C0BCFE

        Issued to: Microsoft Code Signing PCA 2011
        Issued by: Microsoft Root Certificate Authority 2011
        Expires:   Wed Jul 08 14:09:09 2026
        SHA1 hash: F252E794FE438E35ACE6E53762C0A234A2C52135
            Issued to: Microsoft Corporation
            Issued by: Microsoft Code Signing PCA 2011
            Expires:   Wed Mar 03 11:39:48 2021
            SHA1 hash: A5BCE29A2944105E0E25B626120264BB03499052

The signature is timestamped: Sun May 24 12:34:40 2020
Timestamp Verified by:
    Issued to: Microsoft Root Certificate Authority 2010
    Issued by: Microsoft Root Certificate Authority 2010
    Expires:   Sat Jun 23 15:04:01 2035
    SHA1 hash: 3B1EFD3A66EA28B16697394703A72CA340A05BD5

        Issued to: Microsoft Time-Stamp PCA 2010
        Issued by: Microsoft Root Certificate Authority 2010
        Expires:   Tue Jul 01 14:46:55 2025
        SHA1 hash: 2AA752FE64C49ABE82913C463529CF10FF2F04EE

            Issued to: Microsoft Time-Stamp Service
            Issued by: Microsoft Time-Stamp PCA 2010
            Expires:   Tue Mar 16 18:15:00 2021
            SHA1 hash: 313D4B1BF280123D17B222FD9FB9B1997D5A7D9B


Successfully verified: C:UsersyegleDownloadswsl_update_x64.msi

Number of files successfully Verified: 1
Number of warnings: 0
Number of errors: 0

But running this installer result in a yellow UAC warning stating the executable is from unknown publisher:

I’ve tried to use dsim.exe and sfc.exe to try to fix my system in case that’s the cause but both tool report back clean. I’m out of clue 🙁