The nrfconnect-setup-3.7.0-ia32.exe installer gives a malware warning from Google's VirusTotal website. There's only one warning, but it's from one of the larger malware scanner companies (Comodo), so it might concern people.
The warning itself seems to be due to the JLink_Windows_V688a.exe that's included in the installer. Testing by unpacking the installer and repacking everything but the J-Link installer shows that no warnings come from the rest of the install package.