Welcome to the community. 
First of all - make sure you are using the correct trainer. There are two versions of the game, both with you need to use their dedicated trainer for:
- Death Stranding Cheats and Trainer for Epic Games
- DEATH STRANDING DIRECTOR'S CUT Cheats and Trainer for Epic Games
If you are using the correct trainer, try these troubleshooting steps: "Wemod failed loading the cheats into your game" / "We’re having trouble downloading the cheats" - #2 by Ravenfyre.
Yes you do. You have Windows Defender, which comes with all Windows PCs and cannot be removed as it is permanently embedded into the operating system.