You do have a clean version of dlgmake.exe, provided you downloaded the archive from this site.
If an AV software has no patterns stored for a specific executable, it uses "heuristic" scanners which shout foul when they encounter things that are not so common in boring standard software compiled with standard C compilers. For example, a simple pushad/popad sequence may look suspicious to a heuristic scanner.
So forget the warnings, and enjoy the Masm32 package. The last dozen years or so, it has been absolutely safe. By the way, welcome to the Forum :icon14: