To digitally sign .scr file, you need to strip existing signature first (e.g. using delcert utility), then sign .scr file (using signtool).
Or if you don’t mind having two files, you can select Digitally Signed Screen Saver (.scr) with Separate Data (.dat) when creating screen saver. This produces .scr and .dat file. Such .scr file is digitally signed. This ensures its authenticity and integrity and identifies the software publisher as Finalhit. Note that both .scr and .dat file files should be used together, i.e. copied to appropriate System folder.