Not an issue / bug in Kali and a duplicate of e.g. 0008594, 0008462, 0008343, 0008312, 0008270, 0008023 and similar.

Some more background from 0008312:0017954:

Kali Linux is an open-source, Debian-based Linux distribution geared towards various information security tasks, such as Penetration Testing, Security Research, Computer Forensics and Reverse Engineering.

So of course, Windwos Defender and stuff will find known malware/trojan/exploit/whatever in there. In Kali Linux, those are here for the purpose of studying it and working with it.

In short: ignore the warning. We probably should document it better

https://www.kali.org/docs/usb/live-usb-install-with-windows/#what-youll-need even has documentation about this...

This is expected. Please read https://www.kali.org/docs/troubleshooting/windows-antivirus-warning/ for details.