Here's my experience with the code signing as an individual developer.
Back in a days, when the signing was just introduced, it was cheap and worked fine, e.g. about $60 per year.
You purchased the code, got private key, added it to your build process, signed the app, that stupid warning screen was not shown, all good.
Then they started to increase the prices and the process became more and more complicated.
And all those certificate sellers will allow you to purchase the code and only then will ask you to validate yourself (depending on where you are, the process is less or more painful, like getting notarial approval of docs etc.)
You won't be getting the private key anymore, you will either have to use an online service to sign the exe (it costs per call, not meant for individuals imho).
Or you will have to add the key to the Yubikey and then it will still possible to sign the app from a command line.
There are 2 signing certificates - individual and Extended Validation certificates.
Individual is cheaper. You will able to sign the app, but Windows will still show that warning screen and only after n people (nobody knows the n) will install your app, that warning will go away.
Extended Validation is supposed to be trusted and Windows should not show that warning screen. I've not used it, so I cannot tell.
And even if you decide to use the Windows store, you will still need a certificate and the same applies to both types of certificates.
I tried to submit an app to the Windows store using the individual certificate and every time the store automated validator told me that blah blah, there's a certificate prompt, so please download your app yourself, and then submit it to the Microsoft and then 3 days later it might or might not work.
Maybe it's changed now, but I just gave up.
It's an extortion. And there's nothing much you can do as an individual developer.
Maybe there some more options available, I don't know. My current certificate will expire next year so I will have to do this gain

Apple has it right. You pay $100 a year, get the code, sign your app, submit it and that's it.