Exe file remove automatically by Windows Virus & threat protection

Once the exe file is created run its automatically removed by the windows virus & threat protection.
Below is the screenshot:

Common issue - You need to mark either the folder the exe resides in or the exe file for exemption from the antivirus protection.
You can submit to the antivrus company to be marked as safe but the exemption route is easiest.

Maybe because we are now using UPX to compress EXE files and make them smaller? But UPX is globally accepted by antivirus software.

You can also try to disable UPX compression to see if it helps:

Finally, code signing your EXE file really helps.