The next time you run the antivirus scanner, it's probably going to put the exe back into quarantine again.
I'm not familiar with your particular antivirus software, but all of them support whitelists. They have to, because there are always going to be false positives with any scanner. Most allow you to exempt an entire folder, and if Bullguard does you'll want to exempt the entire \program files\cakewalk tree. Otherwise, it's going to scan not only the handful of executables there but also all your DLLs, e.g. every plugin. Even if it doesn't raise any false positives, it's extra time during the scan to examine files you already know are safe (nobody's ever planted a virus in a VST).
You might also want to exempt your sample libraries, if you have any. Some scanners don't trust the file extension and will scan them, because they could conceivably be renamed executables. As you can imagine, it takes a
long time to scan thousands of wave files.