I tried running both Lazarus installation and cross compiler installation and they look different on my Windows 11 (I attached screenshots of the first window that shows).
They are different (which suggests that Windows treats them differently).
Also, window that first shows in your Lazarus installation is different than that when starting one in my computer, so that suggests that something is different in my User-Account Control settings from your setting.
Check SmartScreen settings: go to Windows Settings, then "Privacy & Security", "Windows Security", "Open Windows Security".
Go to "App & browser control" on the left side, and below "Reputation-based protection", open "Reputation-based protection settings" and check settings there.