Basically, If you are downloading it from third party providers, I wouldn't be surprised if it contained some form of malware. Keep in mind, that cheat engine allows you to manipulate processes and applications in various different ways, that are not all legal. Knowing that you might have done some system or mid level interactions that lead to the pop-up. If you downloaded it from an official source and you are certain that you know what you are doing, you could make an exception.