Windows SmartScreen will block execution of downloaded apps. There are exceptions for apps that are code-signed, but I won't go into all those details. When you download a well-respected, open source app from GitHub, you can be assured that it's safe and does not do data gathering. Just click "More Info" and then "Run anyway". It won't bother you again.
Please note that if you download an app from some random web site (as opposed to the developer's site) then you should think very carefully before running it. Always go to the developer's web site and also do some searching about the tool on discussion sites like Reddit. Once you've confirmed the app is good, and you're getting it from the developer's site, then go ahead and use it.
You don't need to download that runtime. Everything you need for the Windows version of czkawka is in that one zip file. It's a portable app, by the way. Just unzip it and then double-click the Exe. There's no installer.