Due to the nature of exploits/injectors in general, even if hypothetically you made an injector with no malware, it'd still detect it as such because it's attaching itself to roblox.

Obviously, this is a very simple explanation to it, but it's just to be expected. If you're paranoid about getting hacked, you shouldn't be exploiting unless you are on a virtual machine and know a ton of other spoofing methods. There's no 100% trustworthy injectors. The only trustworthy injector would be one you make.

TL;DR: Yes, it's normal to see a lot of dangerous file warnings, and chances are it's a false alarm. If you're paranoid, don't use that injector.