That's what you get if you turn on
Settings > Apps > Apps & features > Choose where to get apps > Anywhere, but warn me before installing an app that's not from the Microsoft Store.

You should be getting that warning for any (non-Store) installation. Not just for WinSCP.
If you do not like it, turn the option off. There should be even a link for that on the very message.

In general, it's just a way Microsoft pushes users to use their Store. WinSCP is in the Store too, if you prefer that: https://winscp.net/eng/docs/microsoft_store

I get this message when I start the install procedure. I know it's just a warning, but it makes me very uncomfortable about upgrading to this version.

The app you're trying to install isn't a Microsoft-verified app
Installing apps from the Store helps protect your PC and keep it running smoothly.