It seems like a False Positive detection however it depends on the source of the game. I recommend following the How To Handle Suspicious False Positive Detection? article.
Whenever i download any game from the internet (unless i get it from steam) it pops up saying its an unknown detection by the identity protection agent. (this goes for every game expect for the ones put out by game making companies) so I have another backup antivirus program that I run (advanced system care) its not as good as avg I just have it for cleaning and stuff. Is this a false detection or should i be alarmed?