Seems they're more trouble than they're worth at times 3rd party AV programs
I think that often depends on the settings, e.g. with Kaspersky one can use application restrictions where for unknown applications they are moved to an untrusted group rather than just using heuristic analysis. This prevents all unknown applications from running which can be a very useful form of protection but sometimes this can cause a headache when trying to install and run some programs.
Obviously trusting digital signatures and not allowing unknown apps to run does not give 100% protection but it is probably better than nothing