What happens if you create a new test user account and run the installer logged in to that account?
It prompts me for admin privileges to execute it, and when I provide them (via my main account) it runs normally. Which is ironic given I can’t actually run it when logged in with my main account that is providing those elevated privileges. Yay Windows! 
Not sure about the diagnostic stuff, will take a look at it tomorrow and see if it sheds any light, thanks.
[Edit: Actually just checked and it is all turned on]
Yes the UAC does turn all that stuff off. I tried changing my settings to “Never notify” as well and I still get the install wizard for vassal which you are not getting. Sorry I can’t think of anything else the Windows gurus might have some answers (maybe).
Do you have Controlled folder Access on ? Mine is off.
…if you have it turned ON, then your download folder (or wherever you send the Vassal Module) might be in this list. You could disable CFA completely as I did, remove said folder from the list if possible, or “Allow an App through controlled folder access” and add Vassal. Other than that I think I am out of ideas.