These things cost money and bring limited (or rather no) benefits apart from removing a dialog which the OS developers put there in the first place to help certificate makers make money.
Anybody with money can compile a malicious binary and sign it with whatever valid certificate, because no user checks the signatures anyway.
Yeah, that’s true, but it does make things easier for the end user. For Mac we do ship signed binaries which avoids some prompts and allows firewall access etc.
If someone has a guide that a five year old could follow on how to automate code signing for Windows I’d be happy to do it, if the cost is reasonable.
So there is a site that sells code signing certs for 14Eur a year for OSS projects, and SignTool for windows and osslsigncode utility which can sign .exe’s on Linux.