Press the Windows key + S key to bring up the search or use the search bar on your task bar if you have one. Type in "Windows defender" without the quotations and click on the "Windows Defender App" to open it.
Once inside Windows Defender, click on the "App & browser control" icon.
Turn off the SmartScreen filter for "Check apps and files". This should take care of the warning you are receiving with Kennel Connection. You can also decide if you want to display this warning for Microsoft Edge browser and for Windows Store apps.