Thanks! I had omitted an important detail: We attempt to call the script to install the cert as:
powershell.exe -NoProfile -ExecutionPolicy Bypass -File "C:\Program Files\Gpg4Win\bin/install.ps1" CurrentUser "PATH_TO_CERT_FILE" "PATH_TO_PROGRESS_FILE"
Where PATH_TO_CERTFILE is the file you found in %TEMP%, and PATH_TO_PROGRESS_FILE is a textfile that the script will create to communicate success or error.
Could you confirm whether the script also gets blocked when invoked like this? Further, does it run when invoked with runas?