Please check in the Windows Defender Security Center (where you excluded the trainer and the Work folder for Defender, if your SmartScreen settings are set to 'Warn' instead of 'Block' (in App & browser control) and that you use the default settings in 'Exploit Protection' (scroll down when in App & browser control).
-> If you use Windows 10 v1709 build 16299.64 (Win key + i -> System -> About)
It's not blocking anything; the trainer works now that I've temporarily disconnected my second monitor, but even though the infinite health cheat does work in the main game it doesn't work in Not a Hero. All of the other cheats work in Not a Hero, though.
Trainers are made just for the base "vanilla" game. If an option not working requires the DLC, the option of gifting it to CH is there to get the team the what is needed to make it work. You may goto the donate page and send in required funds and in the memo part include what it is for and message Pwizard a heads up to let him know its coming.
Link
I figured there was a system like that, and that's fair; I only mentioned Not a Hero and not the other DLC that came out recently (which I haven't tried the trainer with yet) because Not a Hero is free, so there's no need to buy it. I can live with the rest of the options that do work with it already, I just wasn't sure if they were all supposed to or not.
Edit: Also, just for the record, I've tried it out now and the infinite health code does work on the new paid DLC, so Not a Hero seems to be the only thing it doesn't work in.
[Edited by Jocosity, 12/13/2017 4:04:10 PM]
I ran into a an unexpected quirk with the "Unlimited Ammo" option. It seems to work on other items as well. This is using the latest version for PC STEAM dated 12/12/2017. For example I have "Unlimited Ammo" enabled during the main game on madhouse mode. I have the dissection room key. When I use the key to unlock the door, the key goes into the door yet it is also still in my inventory and the door will not open. I restarted my save point and left "Unlimited Ammo" off and I was able to use the key properly. Same scenario happened when I placed the wooden toy shotgun on the statue. I place the wooden shotgun in the statue yet it also stayed in my inventory.
The unfortunate thing is that savegames are not exchangeable for this game so we cannot reproduce your issue as we have to play the game for as long as it takes to get to those areas you describe here.
As you already found out which trainer option is causing this... thanks for sharing!