If you trust the source you downloaded, I think it's fine. If you downloaded from an unknown site, malicious codes/virus may have been placed in it. I think you can find the source of the file, its digital signature etc. check again.
It is common for antivirus programs to detect files with executable extensions such as .exe, MSI, etc. as viruses. If the source you got the file from is really reliable, it will not be a problem, you do not need to remove it. But if it's suspicious, you can remove it.
As an antivirus, I have to say that I find Kaspersky more functional and reliable.