I doubt it as well, and I completely agree with what you and others have said. While I rarely use Windows, it's unsurprising to see software from smaller development shops release software with no signature (or at least historically it's been unsurprising). So, this complacency sort of breeds the habit of simply clicking through and installing anyway. Heck, I even remember when installing certain drivers often required clicking through similar warnings since they occasionally weren't signed.
While I'd like to think things are generally better now, I think the historical inertia of Windows' ecosystem and how conditioned users have become to ignoring such warnings is at least partially (mostly?) at fault. There's no easy way to correct people's behavior, and enforcing certain settings (e.g. only installing signed software) would mean either 1) upsetting power users or 2) users still finding a way to disable such checks.