The issue is that due to the high costs of getting a certificate, a lot of legitimate software for Windows is still unsigned.
I know several large FLOSS projects, with hundredthousands and millions of users, that ship only unsigned binaries, telling their users to turn off SmartScreen.
If Microsoft would have used a GPG-like mechanism, or provided certs for free, it would look very different.
Here is what SmartScreen actually looks like and actually does[0] on Windows 10 when attempting to download an unsigned installer.
If Microsoft is aware that the file you're attempting to download is malware, they will block the download entirely (in IE/Edge).
[0] http://imgur.com/a/l5JzM