I've never gotten any warnings when downloading but I DO get the following warning every time I run a game created in Construct:
System modification attempt
DeepGuard has noticed that a program is trying to manipulate or terminate another process, which is potentially dangerous.
It's this F-Secure AV & firewall that was provided by my ISP. It's just being paranoid since I haven't seen anyone else mention it on the forums. Thought I'd mention it though cause others out there are probably also getting the same scary warnings when we give them our games.