That’s false-positive report by the antivirus software.
Since .scr file consists of executable part and payload (configuration and media files), this combination sometimes confuses antivirus software, specifically their component called Heuristic analysis used to detect previously unknown computer threats.
You can choose to create Digitally Signed Screen Saver (.scr) with Separate Data (.dat). Digitally signed .scr file 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.