This happens to 75%+ of Steam games as well regardless of engine used to build them. It’s possible as well that Unreal Engine itself collects user data or crash logs (but I can not confirm that). Open up your firewall rules and most likely you’ve been adding rules for half your library, which you could (should) just remove.
Besides the firewall, there are other common security messages that will pop up for many users. Such as a possibly unsafe EXE “not many users are using this… etc.”, or an attempt from the game to modify your data on your disk (when creating save files or config ini etc.). Usually windows module like smartscreen or anti ransomware and at times antivirus. Third party antivirus programs tend to be scareware to make people pay for a subscription. Windows messages are not scareware as far as I can tell.
While messages can not (and should not) be hidden away from end users, they can either be educated into the complexity of security or, made aware that in the case of a firewall popup, they are actually being protected. If they hit the cancel button, the firewall will not allow connections to be made while (usually) the game is still playable.
Educating end users on security is usually out of scope of a project (I mean, we’re distributing games here not giving IT lessons 
). I’d still respect their choice to distrust any software and person even if they don’t know much about the topic. In fact, fear increases with uncertainty, lack of knowledge. Their fear + these OS messages might reinforce their sense of safely using computers instead of being careless. Allowing a program through the firewall is in fact a security risk even if your code is flawless and as safe as it can be.