I believe that message is the 32 bit application warning and yes, it only appears once for each app that is affected after you install Mojave. It will not show up when you open it again.
The exe part is a bit more mysterious. macOS doesn't technically care one bit about file extensions. It determines the type of file by MIME information of the file itself. It can if present use the extension to override the MIME information to choose an app or mechanism to open the file with. If it has no information about an extension it will use the MIME data in the file to determine what App to associate it with or how to open it.
Its entirely possible that file is not actually a Windows executable, but just a mac App with a wrongly applied exe extension.
If iSightCapture opens and works then you know its not a windows executable. And the exe extension is just a mistake.