Settings -> Bluetooth & Devices -> AutoPlay -> Use AutoPlay for all media and devices
Was set to on, and "Removable drive" was set to "Choose a default", which appears to be equivalent to "Ask me every time".
I don't have anything (that I'm aware of) that auto-runs something, but I presume it will prompt me asking if I want to run setup.exe, which seems somewhat reasonable for new hardware.
And from the malware analysis, https://www.hybrid-analysis.com/sample/e3f57d5ebc882a0a0ca96... , it's signed by "Owner: CN=Microsoft Windows Hardware Compatibility Publisher, O=Microsoft Corporation, L=Redmond, ST=Washington, C=US; Issuer: CN=Microsoft Windows Third Party Component CA 2012, O=Microsoft Corporation, L=Redmond, ST=Washington, C=US" which also looks pretty legit.
I can totally see a lot of folks allowing it to run.