That would be annoying for people who work on files with a double extension for legitimate reasons, e.g. .tar.gz, and (this can't be stressed strongly enough) Windows users do not pay attention to warning popups, so it wouldn't actually help. Despite it being eighteen years since Windows Vista released, and therefore vanishing unlikely that any given software was written assuming that Windows didn't have a permissions system, it's still most people's first troubleshooting step to try and run things as admin, and you still get loads of people (including ones who should know better, e.g. ones who also use Linux and would never log in as root) who disable UAC as one of the first things they do when setting up a windows install, and end up running everything as the equivalent of root just to suppress the mildly annoying pop-up when something asks for elevated permissions.

So, your proposed popup:

• would be annoying including for legitimate uses
• wouldn't help as anyone who already ignores the smart screen popup that shows up when running a dodgy application will ignore the new popup, too
• would be disabled by huge swathes of users anyway