In all versions starting the bedrock_server.exe leads to the pop-up: 

Windows Defender SmartScreen prevented an unrecognized app from starting. Running this app might put your PC at risk.

Normally this has 2 buttons: Don't run and Run anyway (after clicking more info).

Since version 1.17.40 I do not see the 'run anyway' button anymore.

Mojang should provide Extended Validation (EV) Code Signing Certificate with the server to avoid these issues.

Running on HP Elitebook, Windows 10 Enterprise 20H2:

Edition Windows 10 EnterpriseEdition Windows 10 Enterprise

Version 20H2

Installed on ‎12-‎5-‎2021

OS build 19042.1237

Experience Windows Feature Experience Pack 120.2212.3530.0

Windows shows this popup when trying to run bedrock_server.exe