Symptoms
Assume that you use SQL Server 2019, you may notice the unsigned files are installed through the Microsoft MPI which is installed as a component in the RTM baseline.
The affected files are as follows:
C:\Program Files\Microsoft MPI\Benchmarks\IMB-MPI1.exe
C:\Program Files\Microsoft MPI\Benchmarks\IMB-NBC.exe
C:\Program Files\Microsoft MPI\Benchmarks\MpiPingpong.exe
Status
Microsoft has confirmed that this is a problem in the Microsoft products that are listed in the "Applies to" section.
Resolution
This issue is fixed in the following cumulative update for SQL Server:
About cumulative updates for SQL Server:
Each new cumulative update for SQL Server contains all the hotfixes and all the security fixes that were included with the previous cumulative update. Check out the latest cumulative updates for SQL Server:
References
Learn about the terminology that Microsoft uses to describe software updates.