It IS, though. SmartScreen on Windows doesn't check binaries created on the same machine, but you'll get flagged if you move the untrusted binary to another machine you own.
I'm not sure what they call it, but Windows does get in the way for things you compile on your own machine. I compiled the JuicyPotato exploit and tried to copy it to another local folder and got error 0x800700E1 and the EXE went missing.