I have signed a .msi file using my GoDaddy certificate but I am still seeing the "Windows protected your PC" message. The publisher is correct and the digital signature attached to the file looks correct (SHA256).
Thank You for being a Godaddy customer and for adding a question to our forum. It is hard for us to pinpoint exactly what is happening with this error with the given information. There are a few services that require an Extended Validation Code Signing Certificate when using Windows 10. This might be the cause, however, because there are so many possible causes I would suggest emailing email@example.com with a detailed description of the error and screen shots showing as much detail regarding how the certificate was set up as you can.